Research on placebo analgesia usually shows that people experienced a reduction in pain after using a placebo analgesic. An emerging line of research argues that, under some circumstances, merely possessing (but not using) a placebo analgesic could induce placebo analgesia. The current study investigates how temporary expectation of pain reduction associated with different forms of possessing a placebo analgesic affects pain outcomes. Healthy participants (n = 90) were presented with a vial of olive oil (placebo), described as a blended essential oil that blocks pain sensations upon nasal inhalation, and were asked to anticipate the benefits of such analgesic oil to the self (such as anticipating the analgesic oil to reduce their pain). Participants were randomized into one of three different possession conditions: physical-possession condition (participants possessed a tangible placebo analgesic oil, inducing an expectation to acquire analgesic benefit early upon the experience of pain), psychological-possession condition (participants possessed a coupon, which can be redeemed for a placebo analgesic oil, inducing an expectation to acquire analgesic benefit later upon the experience of pain), or no-possession condition. Participants did a cold pressor test (CPT) to experience experimentally-induced pain on their non-dominant hand. Their objective physical pain responses (pain-threshold and pain-tolerance), and subjective psychological pain perception (pain intensity, severity, quality, and unpleasantness) were measured. Results revealed that participants in the physical-possession condition reported greater pain-threshold, F(2, 85) = 6.65, p = 0.002, and longer pain-tolerance, F(2, 85) = 7.19, p = 0.001 than participants in the psychological-possession and no-possession conditions. No significant group difference was found in subjective pain perception. The results of this study can advance knowledge about pain mechanisms and novel pain management.