Once considered nuisance variance in clinical trials, placebo effects and nocebo effects are now widely recognized as important and mutable psychobiological contributors to mental and physical health. Psychological theory explaining these effects emphasizes associative learning and conscious expectations. It has long been suggested, however, that affective states such as moods, emotions, and distress could play a significant role. In this paper, we draw together and review the empirical data linking affective states to placebo and nocebo effects. To organize this disparate literature, three questions are addressed: (1) Does pre‐existing state and trait affect modulate placebo and nocebo effects? (2) Does administering placebo and nocebo treatments change affective states, and if so, does the resulting affect causally influence placebo and nocebo effects? Finally, (3) Can placebo treatments be successfully employed as a regulation strategy to modulate different affective states? In reviewing the evidence in relation to these three questions, it is clear that affect does play a key role in placebo and nocebo effects in many circumstances, and further, there may be a reciprocal dynamic at play between a treatment event, affect, and placebo/nocebo effects. The paper concludes by discussing implications for theory and intervention and recommends future research priorities.