While treatment side effects may adversely impact patients, they could also potentially function as indicators for effective treatment. In this study, we investigated whether and how side effects can trigger positive treatment expectations and enhance treatment outcomes. In this pre-registered trial (DRKS00026648), 77 healthy participants were made to believe that they will receive fentanyl nasal sprays before receiving thermal pain in a controlled experimental setting. However, nasal sprays did not contain fentanyl, rather they either contained capsaicin to induce a side effect (mild burning sensation) or saline (inert). After the first session, participants were randomized to two groups and underwent functional MRI. One group continued to believe that the nasal sprays could contain fentanyl while the other group was explicitly informed that no fentanyl was included. This allowed for the independent manipulation of the side effects and the expectation of pain relief. Our results revealed that nasal sprays with a side effect lead to lower pain than inert nasal sprays without side effects. The influence of side effects on pain was dependent on individual beliefs about how side effects are related to treatment outcome, as well as on expectations about received treatment. Functional MRI data indicated an involvement of the descending pain modulatory system including the anterior cingulate cortex and the periaqueductal gray during pain after experiencing a nasal spray with side effects. In summary, our data show that mild side effects can serve as a signal for effective treatment thereby influencing treatment expectations and outcomes, which is mediated by the descending pain modulatory system. Using these mechanisms in clinical practice could provide an efficient way to optimize treatment outcome. In addition, our results indicate an important confound in clinical trials, where a treatment (with potential side effects) is compared to placebo.