Slow, deep breathing (SDB) is a common pain self-management technique. Stimulation of the arterial baroreceptors and vagal modulation are suggested, among others, as potential mechanisms underlying the hypoalgesic effects of SDB. We tested whether adding an inspiratory load to SDB, which results in a stronger baroreceptor stimulation and vagal modulation, enhances its hypoalgesic effects. Healthy volunteers performed SDB (controlled at 0.1 Hz) with and without an inspiratory threshold load. Controlled breathing (CB) at a normal frequency (0.23 Hz) was used as an active control. Each condition lasted 90 s, included an electrical pain stimulation on the hand, and was repeated four times in a randomized order. Pain intensity, self-reported emotional responses (arousal, valence, dominance), and cardiovascular parameters (including vagally-mediated heart rate variability) were measured per trial. A cover story was used to limit the potential effect of outcome expectancy. Pain intensity was slightly lower during SDB with load compared with normal-frequency CB, but the effect was negligible (Cohens d < 0.2), and there was no other difference in pain intensity between the conditions. Heart rate variability was higher during SDB with/without load compared with normal-frequency CB. Using load during SDB was associated with higher heart rate variability, but less favorable emotional responses. These findings do not support the role of baroreceptor stimulation or vagal modulation in the hypoalgesic effects of SDB. Other mechanisms, such as attentional modulation, warrant further investigation.