Exhibit 23.1

CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

We hereby consent to the incorporation by reference in the Registration Statement on Form S-8 (File No. 333-108835 and 333-166788) and the Registration Statement on Form S-3 (File No. 333-166878) of CNO Financial Group, Inc. of our reports dated February 27, 2012 relating to the consolidated financial statements, the financial statement schedules and the effectiveness of internal control over financial reporting, which appear in this Form 10-K.

/s/PricewaterhouseCoopers LLP

Indianapolis, Indiana

February 27, 2012