Our subjective sensory experiences are thought to be heavily shaped by interactions between expectations and incoming sensory information. However, the neural mechanisms supporting these interactions remain poorly understood. By using combined psychophysical and functional MRI techniques, brain activation related to the intensity of expected pain and experienced pain was characterized. As the magnitude of expected pain increased, activation increased in the thalamus, insula, prefrontal cortex, anterior cingulate cortex (ACC) and other brain regions. Pain-intensity-related brain activation was identified in a widely distributed set of brain regions but overlapped partially with expectation-related activation in regions, including the anterior insula and ACC. When expected pain was manipulated, expectations of decreased pain powerfully reduced both the subjective experience of pain and activation of pain-related brain regions, such as the primary somatosensory cortex, insular cortex, and ACC. These results confirm that a mental representation of an impending sensory event can significantly shape neural processes that underlie the formulation of the actual sensory experience and provide insight as to how positive expectations diminish the severity of chronic disease states.