The present research addressed the relation between catastrophizing, depression and response expectancies in anticipation of an experimental pain procedure. One hundred and twenty undergraduates (48 men, 72 women) participated in exchange for course credit. Prior to immersing one arm in a container of ice water, participants were asked to complete measures of catastrophizing and depression, and to estimate the degree of pain and emotional distress they expected to experience. After a 1-min immersion, participants rated their actual experience. Pain expectancies partially mediated the relation between catastrophizing and pain experience. Pain expectancies also mediated the relation between depression and pain experience. Catastrophizing, but not depression, was associated with a tendency to underestimate pain and emotional distress. The implications of these findings for the conceptual distinctiveness of catastrophizing and depression are discussed. Discussion also examines the potential implications of the present findings for pain management interventions.