Despite growing interest in the placebo effect, the neural correlates of conditioned analgesia are still incompletely understood. We investigated herein on brain activity during the conditioning and post-conditioning phases of a placebo experimental paradigm, using event-related fMRI in 31 healthy volunteers. Brief laser heat stimuli delivered to one foot (either right or left) were preceded by different visual cues, signalling either painful stimuli alone, or painful stimuli accompanied by a (sham) analgesic procedure. Cues signalling the analgesic procedure were followed by stimuli of lower intensity in the conditioning session, whereas in the test session both cues were followed by painful stimuli of the same intensity. During the first conditioning trials, progressive signal increases over time were found during anticipation of analgesia compared to anticipation of pain, in a medial prefrontal focus centered on medial area BA8, and in bilateral lateral prefrontal foci. These frontal foci were adjacent to, and partially overlapped, those active during anticipation of analgesia in the test session, whose signal changes were related to the magnitude of the placebo behavioral response, and those active during placebo analgesia. Specifically, a large focus in the right prefrontal cortex showed activity related to analgesia, irrespective of the expected side of stimulation. Analgesia was also related to decreased activity, detectable immediately following noxious stimulation, in parietal, insular and cingulate pain-related clusters. Our findings of dynamic changes in prefrontal areas during placebo conditioning, and of direct placebo effects on cortical nociceptive processing, add new insights into the neural bases of conditioned placebo analgesia.