Placebo effects are important in pain reduction, but the effects are inconsistent. Prior experience with a pain stimulus may moderate placebo analgesia. The current study tests the effect of prior experience with a pain stimulus on placebo analgesia during a laboratory pain task. Healthy normotensive undergraduates (66 women, 68 men) who either did or did not report prior experience with pain from submerging a limb in cold water were enrolled. In the laboratory, an experimenter applied an inert, medicinal-smelling cream to participants’ non-dominant hand. Participants randomized to the no-expectation group were told that the cream was a hand cleanser. Participants randomized to the placebo expectation group were told that the cream would reduce the pain associated with the cold pressor task. Participants then completed the cold pressor task and reported their pain on the short form of the McGill Pain Questionnaire. Analysis of variance revealed a main effect of expectation (p < .05), such that participants in the placebo expectation group reported less pain. An interaction was also found between expectation and prior experience (p < .05), such that participants with prior experience with pain from cold water immersion showed no difference in pain reports between expectation groups. In a pain context, prior experience with the pain stimulus may prevent a placebo expectation from reducing the experience of pain.