Pain-associated approach and avoidance behaviours are critically involved in the development and maintenance of chronic pain. Empirical research suggests a key role of operant learning mechanisms, and first experimental paradigms were developed for their investigation within a controlled laboratory setting. We introduce a new Virtual Reality paradigm to the study of pain-related behaviour and investigate pain experiences on multiple dimensions. The paradigm evaluates the effects of three-tiered heat-pain stimuli applied contingent versus non-contingent with three types of arm movements in naturalistic virtual sceneries. Behaviour, self-reported pain-related fear, pain expectancy and electrodermal activity were assessed in 42 healthy participants during an acquisition phase (contingent movement-pain association) and a modification phase (no contingent movement-pain association). Pain-associated approach behaviour, as measured by arm movements followed by a severe heat stimulus, quickly decreased in-line with the arm movement-pain contingency. Slower effects were observed in fear of movement-related pain and pain expectancy ratings. During the subsequent modification phase, the removal of the pain contingencies modified all three indices. In both phases, skin conductance responses resemble the pattern observed for approach behaviour, while skin conductance levels equal the pattern observed for the self-ratings. Our findings highlight a fast reduction in approach behaviour in the face of acute pain and inform about accompanying psychological and physiological processes. We discuss strength and limitations of our paradigm for future investigations with the ultimate goal of gaining a comprehensive understanding of the mechanisms involved in chronic pain development, maintenance, and its therapy.