Cognitive self-regulation can shape pain experience, but its effects on autonomic responses to painful events are unclear. In this study, participants (N = 41) deployed a cognitive strategy based on reappraisal and imagination to regulate pain up or down on different trials while skin conductance responses (SCRs) and electrocardiogram activity were recorded. Using a machine learning approach, we first developed stimulus-locked SCR and electrocardiogram physiological markers predictive of pain ratings. The physiological markers demonstrated high sensitivity and moderate specificity in predicting pain across 2 data sets, including an independent test data set (N = 84). When we tested the markers on the cognitive self-regulation data, we found that cognitive self-regulation had significant impacts on both pain ratings and pain-related physiology in accordance with regulatory goals. These findings suggest that self-regulation can impact autonomic nervous system responses to painful stimuli and provide pain-related autonomic profiles for future studies.