Cultural practices and anecdotal accounts suggest that people expect suffering to lead to fortuitous rewards. To shed light on this illusory ‘suffering–reward’ association, we tested why and when this effect manifests. Across three vignette studies in which we manipulated the degree of suffering experienced by the protagonist, we tested a ‘just‐world maintenance’ explanation (suffering deserves to be compensated) and a ‘virtuous suffering’ explanation (suffering indicates virtues, which will be rewarded). Our findings revealed that the illusory ‘suffering–reward’ association (1) could serve as a way for people to cope with just‐world threats posed by the suffering of innocent victims, and (2) manifested when the suffering was not caused by the victim's own behaviour and not readily attributable to bad luck. Taken together, these findings not only provide evidence for the existence of the illusory ‘suffering–reward’ association but also elucidate its psychological underpinnings.