Objective: In a predictive coding perspective, symptom perceptions result from an integration of pre-existing information in memory with sensory input. Physical symptoms can therefore reflect the relative predominance of either sensory input or pre-existing information. In this study, we used the thermal grill illusion (TGI), which applies interlaced warm and cool temperatures to the skin to create a paradoxical heat-pain experience. Assuming that the TGI compared to single temperature stimulation relies more importantly on an active integration process of the brain to create this paradoxical sensation, we tested the hypothesis whether a manipulation of the expectations during TGI would have more impact than during single temperature stimulation. Methods: Sixty-four participants received different temperature combinations (16/16 °C, 40/40 °C, 16/40 °C) with neutral, positive ("placebo"), and negative ("nocebo") instructions. Subjective stimulus intensity was rated and neuroticism and absorption (openness to absorbing and self-altering experiences) served as potential moderating traits. Results: The TGI condition was rated highest. Overall, negative instructions increased (p < .001, d = 0.58), whereas positive instructions did not significantly change the TGI intensity perception (vs. neutral; p = .144, d = 0.19). In the TGI condition, increased modulation of pain was observed with higher neuroticism (β = .33, p = .005) and absorption (β = 0.30, p = .010). Conclusions: Whereas negative instructions induced a nocebo effect, no placebo effect emerged after positive instructions. The findings are in line with the predictive coding model of symptom perception for participants with higher levels of neuroticism and absorption.