Placebo analgesia has been attributed to the effects of expectations of pain reduction, which are generally thought of as conscious cognitive processes, and classical conditioning which is a learning process that need not be conscious. We propose a model of placebo analgesia that also takes into account anxiety as a possible mediator of some of the effects of expectations on pain, and attentional processes as a moderator of expectancy effects. In this review we will focus on evidence to support this model from electroencephalography (EEG) studies. Because of the high temporal resolution of EEG it provides an appropriate imaging modality to interrogate some of the key components of our proposed model for placebo analgesia. In this chapter we review the contribution that EEG studies have made to our understanding of anticipation of pain, and the role anticipation may have in priming pain perception and determining placebo analgesic responses.