Conditioned pain modulation (CPM) describes the decrease in pain perception of a test stimulus (TS) when presented together with a heterotopic painful conditioning stimulus (CS). Inter-individual differences in CPM are large and have been suggested to reflect differences in endogenous pain modulation. In a previous analysis, we demonstrated that in young, healthy participants, inter-individual differences account for about one-third of CPM variance, with age and sex together explaining only 1%. Here, we investigated if psychological factors explain significant amounts of inter-individual variance in CPM. Using the same dataset as before, we performed both cross-sectional ( = 126) and repeated measures ( = 52, 118 observations) analysis and the corresponding variance decompositions, using results of psychological questionnaires assessing depression, trait anxiety and pain catastrophizing. Psychological factors did not significantly predict CPM magnitude, neither directly nor when interactions with the CPM paradigm were assessed; however, the interaction between depression and the paradigm approached significance. Variance decomposition showed that the interaction between depression and the CPM paradigm explained an appreciable amount of variance (3.0%), but this proportion seems small when compared to the residual inter-individual differences (35.4%). The main effects of the psychological factors and the interactions of anxiety or catastrophizing with the CPM paradigm are explained at <0.1% each. These results show that the contribution of psychological factors to inter-individual CPM differences in healthy participants is limited and that the large inter-individual variability in the CPM effect remains largely unexplained.