Pressure is the mechanical force per unit area that a confined system exerts on its container. In thermal equilibrium, it depends only on bulk properties—such as density and temperature—through an equation of state. Here we show that in a wide class of active systems the pressure depends on the precise interactions between the active particles and the confining walls. In general, therefore, active fluids have no equation of state. Their mechanical pressure exhibits anomalous properties that defy the familiar thermodynamic reasoning that holds in equilibrium. The pressure remains a function of state, however, in some specific and well-studied active models that tacitly restrict the character of the particle–wall and/or particle–particle interactions.