Perceptual decision-making is commonly studied using stimuli with different physical properties but of comparable affective value. Here, we investigate neural processes underlying human perceptual decisions in the affectively rich domain of pain using a drift-diffusion model in combination with a probabilistic cueing paradigm. This allowed us to characterize a novel role for the dorsolateral prefrontal cortex (DLPFC), whose anticipatory responses reflecting a decision bias were dependent on the affective value of the stimulus. During intense noxious stimulation, these model-based anticipatory DLPFC responses were linked to an engagement of the periaqueductal gray (PAG), a midbrain region implicated in defensive responses including analgesia. Complementing these findings on biased decision-making, the model parameter reflecting sensory processing predicted subcortical responses (in amygdala and PAG) when expectations were violated. Our findings highlight the importance of taking a broader perspective on perceptual decisions and link decisions about pain with subcortical circuitry implicated in endogenous pain modulation.