The doctor probes the coccyx using a gloved finger, pressing gently on front, back, sides and tip. This may be done both from the outside and from the inside, by putting a finger through your anus. If the coccyx is the source of the pain, then normally there will be areas of tenderness in the tissues surrounding the coccyx, often causing most pain when the doctor presses on the tip. But the probing may not produce the same kind of pain as you get when you sit down.
You can try a physical examination yourself. Sally Cowell found that this was easier if she put some hand cream on the skin over the coccyx first. She could then feel all the bumps and hollows quite well. She was also able to tell exactly where it was tender. By keeping her finger on the spot as she sat down, she could just feel some movement outwards as her coccyx partly dislocated. She had her husband put a pen spot just beside it to show the doctor where her pain was when she went for an injection.
The doctor may also investigate your lower back, to see whether the pain may be referred pain, not caused by the coccyx at all. He or she will get you to bend over, to lie down and lift each leg, and will check your reflexes.