The effects of cognitive set and attributional set on cold-pressor pain tolerance were investigated. Fifty subjects were given a series of projective tests that were used to manipulate the feedback they received concerning their ability to control their pain. The cognitive set was manipulated by telling the positive groups (Pos) that they had the ability to deal with external stress while the negative groups (Neg) were informed that they had difficulty dealing with external stress. The attributional set was manipulated by telling subjects that the task they were about to perform depended on the person performing it (Int) or on external factors (Ext). The results indicated that the Pos groups showed a longer duration in cold water and a strong tendency to rate the pain as less compared to the Neg groups. Int also yielded greater pain tolerance than Ext. The discussion focuses on the importance of mental attitude above and beyond any specific coping techniques.