Information about upcoming pain strongly influences pain experience in experimental and clinical settings, but little is known about the brain mechanisms that link expectation and experience. To identify the pathways by which informational cues influence perception, analyses must jointly consider both the effects of cues on brain responses and the relationship between brain responses and changes in reported experience. Our task and analysis strategy were designed to test these relationships. Auditory cues elicited expectations for barely painful or highly painful thermal stimulation, and we assessed how cues influenced human subjects' pain reports and brain responses to matched levels of noxious heat using functional magnetic resonance imaging. We used multilevel mediation analysis to identify brain regions that (1) are modulated by predictive cues, (2) predict trial-to-trial variations in pain reports, and (3) formally mediate the relationship between cues and reported pain. Cues influenced heat-evoked responses in most canonical pain-processing regions, including both medial and lateral pain pathways. Effects on several regions correlated with pretask expectations, suggesting that expectancy plays a prominent role. A subset of pain-processing regions, including anterior cingulate cortex, anterior insula, and thalamus, formally mediated cue effects on pain. Effects on these regions were in turn mediated by cue-evoked anticipatory activity in the medial orbitofrontal cortex (OFC) and ventral striatum, areas not previously directly implicated in nociception. These results suggest that activity in pain-processing regions reflects a combination of nociceptive input and top-down information related to expectations, and that anticipatory processes in OFC and striatum may play a key role in modulating pain processing.