A donut pillow is a hollowed-out round pillow that is shaped like a donut. These comfort pillows help to relieve pain in the tailbone (coccyx) that can be caused by spending a lot of time sitting. The opening in the pillow reduces pressure on the bottom of the spine. This pillow can also be useful if you are having hemorrhoid pain as a side effect of medication-induced constipation (difficulty with bowel movements). Donut pillows can also be used to relieve hip pain or anal pain.