(1) Background: In recent years, placebo and nocebo effects have been extensively documented in different medical conditions, including pain. The scientific literature has provided strong evidence of how the psychosocial context accompanying the treatment administration can influence the therapeutic outcome positively (placebo effects) or negatively (nocebo effects). (2) Methods: This state-of-the-art paper aims to provide an updated overview of placebo and nocebo effects on pain. (3) Results: The most common study designs, the psychological mechanisms, and neurobiological/genetic determinants of these phenomena are discussed, focusing on the differences between positive and negative context effects on pain in experimental settings on healthy volunteers and in clinical settings on chronic pain patients. Finally, the last section describes the implications for clinical and research practice to maximize the medical and scientific routine and correctly interpret the results of research studies on placebo and nocebo effects. (4) Conclusions: While studies on healthy participants seem consistent and provide a clear picture of how the brain reacts to the context, there are no unique results of the occurrence and magnitude of placebo and nocebo effects in chronic pain patients, mainly due to the heterogeneity of pain. This opens up the need for future studies on the topic.