Placebo has been shown to be a powerful analgesic with corresponding reduction in the activation of the pain matrix in the brain. However, the response to placebo treatment is highly variable. It is unclear how anticipatory and pain-evoked potentials are affected by the treatment and how reproducible the response is. Laser stimulation was used to induce moderate pain in healthy volunteers. We induced placebo analgesia by conditioning subjects to expect pain reduction by applying a sham anaesthetic cream on one arm in conjunction with a reduced laser stimulus. Pain ratings were assessed before, during and after treatment. Using lectroencephalography (EEG) we measured anticipatory neural responses and pain-evoked potentials to laser heat to determine how expectation of analgesia affected the response to a placebo manipulation. This was a reproducibility study and as such the experimental procedure was repeated after a minimum gap of 2 weeks. Significant reductions in pain-evoked potentials were shown after treatment. The anticipatory responses did not change after treatment for the control and sham-treatment groups in the first session but were significantly lower in the repeat session relative to the first session in the sham-treatment group only. A significant correlation was found between the reduction in state anxiety in the repeat session relative to the first and the reduction in the anticipatory response in the sham-treatment group. Receiving a placebo treatment appears to cause a lasting change in the cognitive processing of pain for at least 6 weeks. This cognitive change may be facilitated by a change in state anxiety.