Classical conditioning can profoundly modify subsequent pain responses, but the mechanisms that drive this effect are unresolved. In pain-conditioning studies, cues are typically conditioned to primary aversive reinforcers; hence, subsequent pain modulation could reflect learned precognitive associations (i.e., those involving neural plasticity independent of expectations and other forms of conceptual thought) or conceptual expectancies. We isolated conceptual contributions using a thermal pain-conditioning procedure in which different conditioned stimulus (CS) cues were repeatedly paired with symbolic representations of high and low noxious heat. In a subsequent test phase, identical noxious stimuli evoked larger skin conductance responses (SCRs) and pain ratings when preceded by CS cues associated with high temperature than by those associated with low temperature. These effects were mediated by participants’ self-reported expectancies. CS cues associated with high temperature also evoked larger anticipatory SCRs than did CS cues associated with low temperature, but larger anticipatory SCRs predicted smaller subsequent heat-evoked SCRs. These results provide novel evidence that conditioned modulation of pain physiology can be acquired through purely conceptual processes, and that self-reported expectancies and physiological threat responses have opposing effects on pain.