They ejaculate, but do not appear to orgasm as we do. The human female is the only known female of any animal to have an orgasm. It is more difficult to tell with males.
Two things indicate that humans may be unique in this instance. First, we walk upright. Because we walk upright, having a bone in the penis, as other mammals do, isn't practical. Humans lost their os penis ages ago. In order for male humans to be able to copulate, there had to be some psychological trigger to cause erection. The theory goes that sexual arousal became erotic arousal in order to trigger that erection. Humans also reproduce far less frequently than most mammals, rarely have more than one child at birth, and invest a relatively huge number of years raising their young. Because of this, humans of both sexes are far more discriminatory about who they mate with.
Human women are also unique in higher mammals that they don't go into estrus only at set times of the year. Human females are fecund all year. This makes the woman always ready for the right man, who might show-up at any time. Because human females spend nine months pregnant, and then up to a minimum of 13 or 14 years raising her young, mating is a very risky proposition for a woman. She needs a man to stick around. She's not self-sufficient like most female mammals are. By her ninth month, she isn't going to be out stabbing salmon or climbing coconut trees. If she's got a man around, she and her offspring stand a much better chance of survival. Men like to fuck... a lot. Why not make women want to fuck a lot too even if they don't want to have children? That way the man can still fuck even when he's got a wife and kid, and the woman will want to fuck too because she can enjoy it just as much. He sticks around, maybe falls in love, and hangs around for the seven or so years until the kid is relatively, though not completely, independent.
Humans are fascinatingly unique in very many ways in the animal kingdom. There are whole areas where we just have no analog to other animals. Receiving pleasure from sex may be one of those.