A promising stream of investigations is targeting ongoing neural oscillations and whether their modulation could be related to the perception of pain. Using an electroencephalography (EEG) frequency-tagging approach, sustained periodic thermonociceptive stimuli perceived as painful have been shown to modulate ongoing oscillations in the theta, alpha and beta bands at the frequency of stimulation. Nonetheless, it remains uncertain whether these modulations are indeed linked to pain perception. To test this relationship, we modulated pain perception using a cue-based expectation modulation paradigm and investigated whether ongoing oscillations in different frequency bands mirror the changes in stimulus perception. Forty healthy participants were instructed that a visual cue can precede either a high- or low-intensity stimulation. These cues were paired with three different levels of sustained periodic thermonociceptive stimuli (low, medium and high). Despite a strong effect of expectation on perceived stimulus intensity, this effect was not reflected in the modulation of the ongoing oscillations, suggesting a potential dissociation of pain perception and these oscillatory activities. Rather, it seems that the intensity of stimulation is the primary generator of the frequency-tagged EEG responses. Importantly, these results need to be confirmed by further investigations that could allow the detection of smaller effects than originally estimated.