Background: Rejection, injustice, and exclusion from meaningful interpersonal relationships are often extremely painful and stress-generating experiences. This study aimed to define the role of explicit and implicit self-esteem in pain perception as a component of the physiological–psychological system that regulates the body’s response to stress associated with the threat of social rejection. Methods: In total, 360 individuals participated in this study. The measurement of cortisol in saliva, the assessment of pain thresholds using thermal stimuli, the IAT to assess implicit self-esteem, and a questionnaire on global self-esteem and social pain were used. The study included three measurements: baseline and 15 and 45 min after the application of a laboratory socially threatening stimulus (the Trier Social Stress Test). Results: People experiencing chronic social pain (CSP) are more likely to have fragile self-esteem, higher pain thresholds, and tend to experience reduced pain tolerance in situations of acute social threat than people without CSP experience. In people with CSP and fragile self-esteem, after the introduction of a social threat, an increase in pain tolerance was observed along with a longer-lasting increase in cortisol levels. Conclusions: Fragile self-esteem, along with feelings of chronic exclusion, injustice, and rejection, may prolong stress reactions and produce a hypoalgesic effect.