We induced placebo analgesia (PA), a phenomenon explicitly attenuating the self-pain feeling, to assess whether this resulted in reduced empathy pain when witnessing a confederate undergoing such pain experience. We recorded EEG and electrocardiogram during a painful control and PA treatment in healthy adults who rated their experienced pain and empathy for pain. We derived HRV changes and, using wavelet analysis of non-phase-locked event-related EEG oscillations, EEG spectral power differences for self-pain and other-pain conditions. First-hand PA produced a reduction of self-pain and self-unpleasantness, whereas we observed only a slight decrease of other unpleasantness. We derived linear combinations of HRV and EEG band power changes significantly associated with self-pain and empathy for pain changes using PCAs. We found that relative HR-slowing together with decreased midline ϑ-band (4-8 Hz) power directly influenced self-pain reduction and, indirectly, through chained mediating effects of the Behavioral Inhibition System and Fight-Flight-Freezing System traits. In the other-pain condition, we detected a direct influence of the midline β2-band (22-30 Hz) power reduction on the other-pain decline with a positive mediating role of Total Empathic Ability. These findings suggest that PA modulation of first-hand versus other pain relies on functionally different physiological processes involving different personality traits.