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Pain perception and its modulation are fundamental to human learning and adaptive behavior. This study investigated the hypothesis that pain perception is tied to pain’s learning function. Thirty-one participants performed a threat conditioning task where certain cues were associated with a possibility of receiving a painful electric shock. The cues that signalled potential pain or safety were regularly changed, requiring participants to continually establish new associations. Using computational models, we quantified participants’ pain expectations and prediction errors throughout the task and assessed their relationship with pain perception and electrophysiological responses. Our findings suggest that subjective pain perception increases with prediction error, that is when pain was unexpected. Prediction errors were also related to physiological nociceptive responses, including the amplitude of the nociceptive flexion reflex and EEG markers of cortical nociceptive processing (N2-P2 evoked potential and gamma-band power). Additionally, higher pain expectations were related to increased late event-related potential responses and alpha/beta decreases in amplitude during cue presentation. These results further strengthen the idea of a crucial link between pain and learning and suggest that understanding the influence of learning mechanisms in pain modulation could help us understand when and why pain perception is modulated in health and disease.