In Brief Painful diabetic neuropathy (PDN) affects nearly half of patients with diabetes. The objective of this study was to compare the cost-effectiveness of starting patients with PDN on pregabalin (PRE), duloxetine (DUL), gabapentin (GABA), or desipramine (DES) over a 10-year time horizon from the perspective of third-party payers in the United States. A Markov model was used to compare the costs (2013 $US) and effectiveness (quality-adjusted life-years [QALYs]) of first-line PDN treatments in 10,000 patients using microsimulation. Costs and QALYs were discounted at 3% annually. Probabilities and utilities were derived from the published literature. Costs were average wholesale price for drugs and national estimates for office visits and hospitalizations. One-way and probabilistic (PSA) sensitivity analyses were used to examine parameter uncertainty. Starting with PRE was dominated by DUL as DUL cost less and was more effective. Starting with GABA was extendedly dominated by a combination of DES and DUL. DES and DUL cost $23,468 and $25,979, while yielding 3.05 and 3.16 QALYs, respectively. The incremental cost-effectiveness ratio for DUL compared with DES was $22,867/QALY gained. One-way sensitivity analysis showed that the model was most sensitive to the adherence threshold and utility for mild pain. PSA showed that, at a willingness-to-pay (WTP) of $50,000/QALY, DUL was the most cost-effective option in 56.3% of the simulations, DES in 29.2%, GABA in 14.4%, and PRE in 0.1%. Starting with DUL is the most cost-effective option for PDN when WTP is greater than $22,867/QALY. Decision makers may consider starting with DUL for PDN patients. The results of this Markov model showed starting with desipramine or duloxetine was the most cost-effective treatment for painful diabetic neuropathy depending on the willingness-to-pay.