Beliefs and expectations often persist despite evidence to the contrary. Here we examine two potential mechanisms underlying such 'self-reinforcing' expectancy effects in the pain domain: modulation of perception and biased learning. In two experiments, cues previously associated with symbolic representations of high or low temperatures preceded painful heat. We examined trial-to-trial dynamics in participants' expected pain, reported pain and brain activity. Subjective and neural pain responses assimilated towards cue-based expectations, and pain responses in turn predicted subsequent expectations, creating a positive dynamic feedback loop. Furthermore, we found evidence for a confirmation bias in learning: higher- and lower-than-expected pain triggered greater expectation updating for high- and low-pain cues, respectively. Individual differences in this bias were reflected in the updating of pain-anticipatory brain activity. Computational modelling provided converging evidence that expectations influence both perception and learning. Together, perceptual assimilation and biased learning promote self-reinforcing expectations, helping to explain why beliefs can be resistant to change.