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In different fields of neuroscience research, illusions have successfully been used to unravel underlying mechanisms of stimulus processing. One such illusion existing for the field of pain research is the so-called thermal grill illusion. Here, painful sensations are elicited by interlacing warm and cold bars, with stimulus intensities (temperatures) of these bars being below the respective heat pain or cold pain thresholds. To date, the underlying mechanisms of this phenomenon are not completely understood. There is some agreement, however, that the sensation evoked by this stimulation is generated by central nervous interactions. Therefore, we followed two approaches in this study: firstly, we aimed at developing and validating a water-driven device which might be used in fMRI scanners in future studies – subject to minor adaptations. Secondly, we aimed to interfere with this illusion by induction of a sad mood state, a procedure which is suggested to influence central nervous structures that are also involved in pain processing.The newly developed device induced thermal grill sensations similar to those reported in the literature. Induction of sad, but not neutral mood states, resulted in higher pain and unpleasantness ratings of the painful illusion. These findings might be of importance for the understanding of pain processing in healthy volunteers, but putatively even more so in patients with major depressive disorder. Moreover, our results might indicate that central nervous structures involved in the affective domain or cognitive domain of pain processing might be involved in the perception of the illusion.