Previous experimental research on the effects of incorrect intensity expectations of aversive events can be criticized because intensity expectations were not manipulated independently from changes in objective intensity. The present study aims at investigating the effects of incorrect intensity expectations on the immediate and later responses to a painful stimulus, and on the acquisition of anticipatory responses, with proper experimental control. Subjects (n = 62) received 20 painful stimuli of varying intensity. In the control group intensities were correctly signalled on all trials by an analogue signal. On 3 trials the signal was too large in the overprediction condition, and too small in the underestimation condition. Underpredicted painful experiences were related to subsequent higher pain responses on the physiological level, but not on the subjective level; and to increased anticipatory responses (increased pain expectations, uncertainty, subjective fear, skin conductance responses). Skin conductance level also indicated increased fear after underpredicted experiences. Overpredicted painful experiences were related to a faster decrease in subjective fear compared to the control group, but did not influence other variables. The findings support the notion that underpredictions contribute to the acquisition of fear and disrupt habituation processes. The asymmetrical processing of the two kinds of incorrectly predicted experiences is discussed.