There is considerable evidence from studies in adult patients that classical conditioning contributes to anticipatory nausea and/or vomiting (ANV) in cancer chemotherapy: The stimuli predicting the infusion serve as conditioned stimuli (CS). When reexposed to the CS, some patients experience ANV prior to infusion onset. In adult patients, anticipatory immunomodulation (AIM) has also been observed. The present study examines whether ANV and AIM occur in pediatric cancer patients and whether they show features of a conditioned response. Methods: Nineteen pediatric cancer patients (M = 10.1 years, > 2 previous chemotherapies) were studied over two consecutive cycles (A, B). In both cycles, self-reported symptoms, for example nausea and vomiting, were recorded from two days prior to the onset (Day −2), during infusion, and two days after the end of the infusion (Day +2). In Cycle B, blood was drawn at home at Day −2, and at Day 0 in the hospital prior to infusion onset, thus using a quasi-experimental variation of the CS content of the environment. Immune parameters valid for tumor defense and cytotoxic competence (natural killer cell activity [NKCA], plasma interleukin [IL]-1β, IL-2, IL-10, interferon [IFN]-γ, tumor necrosis factor [TNF]-α) and cortisol were measured. Results: ANV was reported by 7 patients in at least one cycle. In Cycle A, ANV was positively associated with emetogenity of chemotherapy. Features of ANV—duration and occurrence—tended to be positively associated with those of posttreatment nausea and vomiting. AN increased as infusion onset time approached. NKCA and IFN-γ increased from home to hospital, independent from cortisol level. The NKCA increase was predominantly observed in patients with ANV. Conclusions: ANV in pediatric patients showed features of a CR. Immune parameters were sensitive to the CS content of the environment, predominantly in patients with ANV. This is consistent with the manifestation of multiple CRs.