Anticipation of a painful experience can influence brain activity and increase sensitivity to experimental somatosensory stimuli in healthy adults, but this response is poorly understood among individuals with chronic musculoskeletal pain (CMP). Studies of brain and perceptual responses to somatosensory stimuli are used to make inferences about central nervous system dysfunction as a potential mechanism of symptoms. As such, we sought to (a) determine the influence of pain anticipation on pain-relevant brain regions and pain perception, and (b) characterize potential differences in these responses between Gulf War Veterans with CMP and matched healthy control (CO) Veterans. CMP (N = 30) and CO Veterans (N = 31) were randomized to conditions designed to generate expectations that either painful (pain) or nonpainful (no pain) stimuli would be administered. Brain responses to five nonpainful thermal stimuli were measured during fMRI, and each stimulus was rated for pain intensity and unpleasantness. In the pain condition, an incremental linear decrease in activity across stimuli was observed in the posterior cingulate cortex, cingulate cortex, and middle temporal gyrus. Further, in the pain condition, differential responses were observed between CMP and CO Veterans in the middle temporal gyrus. These findings indicate that brain responses to nonpainful thermal stimuli in Veterans with CMP are sensitive to pain anticipation, and we recommend accounting for the influence of pain anticipation in future investigations of central nervous system dysfunction in CMP.