This study reports a multivariate test of sex and race differences in experimental pain, and the degree to which these differences could be uniquely attributable to three levels of cognition: primary appraisals (threat, challenge), secondary appraisals (pain catastrophizing) and/or cognitive processes (mindful observing, non-reactivity). Both the predictive and mediator role of the cognitive variables was of interest. The study employed a cross-sectional experimental design, with the cold pressor task employed as the pain stimulus. The total sample included N=355 healthy adults (67% female, 33% male; 70% Caucasian, 30% Asian). Significant sex and race differences on pain tolerance were found, with females and racial minorities reporting less pain tolerance (ps<0.001). Males reported significantly higher challenge appraisals and non-reactivity, and lower pain catastrophizing than females; Asians reported significantly higher threat appraisals and pain catastrophizing than Caucasians. In multivariate analyses, challenge appraisals and non-reactivity emerged as the strongest predictors of pain tolerance. Furthermore, challenge appraisals mediated the sex-pain tolerance association (p=.017). This study showed that race and sex differences, at least in part, may be accounted for by differences in pain-related cognitions. The three levels of cognition investigated in this research represent changeable, important processes for potentially mitigating the impact of pain in vulnerable groups.