Knowing what is going to happen next, that is, the capacity to predict upcoming events, modulates the extent to which aversive stimuli induce stress and anxiety. We explored this issue by manipulating the temporal predictability of aversive events by means of a visual cue, which was either correlated or uncorrelated with pain stimuli (electric shocks). Subjects reported lower levels of anxiety, negative valence and pain intensity when shocks were predictable. In addition to attenuate focus on danger, predictability allows for correct temporal estimation of, and selective attention to, the sensory input. With functional magnetic resonance imaging, we found that predictability was related to enhanced activity in relevant sensory-discriminative processing areas, such as the primary and secondary sensory cortex and posterior insula. In contrast, the unpredictable more aversive context was correlated to brain activity in the anterior insula and the orbitofrontal cortex, areas associated with affective pain processing. This context also prompted increased activity in the posterior parietal cortex and lateral prefrontal cortex that we attribute to enhanced alertness and sustained attention during unpredictability.