Expectancy effects for many psychoactive substances appear to play a role in consumption, problematic use, subjective responses to acute administration, and subsequent effects. Expectancies of psychedelics have received little attention in published research despite their reputation for creating dramatic changes in subjective state. Psilocybin-assisted treatment (PAT) improves depression, but details of associated expected effects remain incomplete. Previous work suggests that PAT-induced changes in depression and other forms of well-being covary with specific subjective effects of psilocybin. Self-reports from over 500 psilocybin-using individuals revealed correlations with relevant subjective effects that appeared to mediate antidepressant effects in previous work (e.g., Mystical Experiences, Ego dissolution, and Emotional Breakthrough). Correlations with demographic variables, current depressive symptoms, and general hallucinogen involvement were markedly smaller. Expectancies on specific depressive symptoms also paralleled retrospective reports of other psychedelic-induced antidepressant effects. Regression revealed that current depressive symptoms, ego dissolution, and emotional breakthroughs accounted for unique variance in expected antidepressant effects, but expectancies on mystical effects did not. Although limitations suggest cautious interpretation, psilocybin-using individuals appear to hold relevant expectancies about subjective and antidepressant effects, which might play a role in treatment outcomes worthy of monitoring in clinical trials.