Prior research indicates that making choices before a painful task can sometimes reduce pain. We examined the possibility that independent and interdependent self-construals moderate the effect of choice on pain. Further, we tested between two types of choice: instrumental and non-instrumental. Healthy normotensive undergraduates were randomly assigned to one of three conditions prior to the cold pressor task. Participants in an instrumental choice condition selected which hand to immerse in the water and were told this choice might help reduce their pain. Non-instrumental choice participants selected which hand to immerse but were given no information about potential pain reduction. Control participants were given no choice or additional instructions. Low interdependence individuals reported less pain than high interdependence individuals—but only when given an instrumental choice. These data indicate that not all forms of choice reduce pain and not all individuals benefit from choice. Instead, individuals low in interdependence exhibit pain relief from instrumental choices.