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Expectations about the magnitude of impending pain exert a substantial effect on subsequent perception. However, the neural mechanisms that underlie the predictive processes that modulate pain are poorly understood. In a combined behavioral and high-density electrophysiological study we measured anticipatory neural responses to heat stimuli to determine how predictions of pain intensity, and certainty about those predictions, modulate brain activity and subjective pain ratings. Prior to receiving randomized laser heat stimuli at different intensities (low, medium or high) subjects (n = 15) viewed cues that either accurately informed them of forthcoming intensity (certain expectation) or not (uncertain expectation). Pain ratings were biased towards prior expectations of either high or low intensity. Anticipatory neural responses increased with expectations of painful vs. non-painful heat intensity, suggesting the presence of neural responses that represent predicted heat stimulus intensity. These anticipatory responses also correlated with the amplitude of the Laser-Evoked Potential (LEP) response to painful stimuli when the intensity was predictable. Source analysis (LORETA) revealed that uncertainty about expected heat intensity involves an anticipatory cortical network commonly associated with attention (left dorsolateral prefrontal, posterior cingulate and bilateral inferior parietal cortices). Relative certainty, however, involves cortical areas previously associated with semantic and prospective memory (left inferior frontal and inferior temporal cortex, and right anterior prefrontal cortex). This suggests that biasing of pain reports and LEPs by expectation involves temporally precise activity in specific cortical networks.