Effects of inhaled essential oils (EOs) cannot be explained by pharmacological mechanisms alone. The study aimed to investigate the effects of pleasantness of and expectancies evoked by EOs. A double-blind experiment with a within-subject design was carried out with the participation of 33 volunteering adults (15.2% male; mean age 37.7 ± 10.90 years). Participants were exposed to three EOs (rosemary, lavender, and eucalyptus) for three minutes in a quasi-random order, expectations were simply assessed prior to exposure. Subjective (perceived) changes in alertness, heart rate (HR), and blood pressure (BP), and objective changes in HR, BP, and indices of heart rate variability were recorded. Significant group-level differences in changes in alertness and no differences for the cardiovascular variables were found. Participants' expectations predicted changes in alertness in the case of rosemary and lavender oils but had no impact on cardiovascular variables. EOs' pleasantness had no effect on any assessed variable. Perceived changes in BP and HR were not related to the respective objective changes but were connected to perceived changes in alertness. Expectancies play an important role in the subjective effects of inhaled EOs. Perceived subjective changes are used to estimate changes in non-conscious (e.g., visceral) states.