The present study aimed to extend the existing literature of mindfulness as a stress protective factor by (1) exploring the role of mindfulness state, not only in response to but also in anticipation of acute pain and (2) investigating an explanatory pathway, decreased rumination, between anticipation of acute pain and cognitive performance, with mindfulness moderating this indirect effect. One-hundred-and-four undergraduates were assessed for state mindfulness and then underwent an acute pain induction using the cold pressor task (CPT). Pain measures included pain threshold, pain tolerance, pain intensity, short-form McGill Pain questionnaire, and pain catastrophizing. Next, half of the participants were told that they would be repeating the CPT after some intervening tasks; half were not told to expect a second CPT. Participants completed a Cognitive Estimation Task (CET) that involved problem-solving, followed by a measure of rumination during CET. Results showed no meaningful associations between mindfulness state and sensory measures of pain (e.g., pain tolerance, pain threshold), but higher mindfulness state was related to lower pain catastrophizing and lower McGill affective subscale scores. There was also evidence of a moderated indirect effect: the indirect effect of condition through rumination on CET performance was moderated by mindfulness. That is, those in the anticipation condition with higher mindfulness state later reported ruminating less during CET and performed better at CET. Mindfulness thus appeared to have a protective role in maladaptive emotional responses when one anticipates acute pain, shielding self-regulatory resources needed to think flexibly when expecting a stressor.