Cues associated with pain or pain relief through classical conditioning can profoundly modify responses to subsequent noxious events. Unlike conditioned fear, conditioned pain modulation can be resistant to extinction or even grow over time in the absence of reinforcement. One explanation for such ‘self-reinforcing’ effects is that prior beliefs bias learning, by enhancing learning from expectancyconfirming relative to disconfirming events. If so, there is the potential for positive feedback loops between expectations and experiences that create ‘self-fulfilling prophecies.’ In two experiments (N=26 and 34), we examined the behavioral and brain mechanisms underlying interactions between pain expectations and pain experiences. Participants first completed a conditioning phase, in which cues were repeatedly paired with either low or high heat levels. In a subsequent ‘extinction’ phase, all cues were followed by identical noxious heat, and we measured trial-to-trial dynamics in expectations, pain experience, autonomic responses, and (in Experiment 2) fMRI activity. Subjective, autonomic and neural responses to painful events were stronger following high- than low-pain cues, and these effects were mediated by self-reported pain expectancies. These effects did not extinguish over time. Analyses of learning dynamics revealed that participants updated pain expectancies more following outcomes that confirmed expectations than those that disconfirmed them, indicating a confirmation bias that maintained the cues’ effects on pain in the absence of reinforcement. Individual differences in the strength of this confirmation bias correlated with anterior cingulate cortex activation to expectancy-confirming vs. -disconfirming outcomes, suggesting a key role for the cingulate in the regulation of learning rate as a function of prior beliefs. These results can help explain why beliefs in many domains can have persistent effects even in the absence of confirming evidence.