Pain sensitivity increases when a noxious stimulus is preceded by cues predicting higher intensity. However, it is unclear whether the modulation of nociception by expectancy is sensory-specific (“modality based”) or reflects the aversive-affective consequence of the upcoming event (“unpleasantness”), potentially common with other negative events. Here we compared expectancy effects for pain and disgust by using different, but equally unpleasant, nociceptive (thermal) and olfactory stimulations. Indeed both pain and disgust are aversive, associated with threat to the organism, and processed in partly overlapping brain networks. Participants saw cues predicting the unpleasantness (high/low) and the modality (pain/disgust) of upcoming thermal or olfactory stimulations, and rated the associated unpleasantness after stimuli delivery. Results showed that identical thermal stimuli were perceived as more unpleasant when preceded by cues threatening about high (as opposed to low) pain. A similar expectancy effect was found for olfactory disgust. Critically, cross-modal expectancy effects were observed on inconsistent trials when thermal stimuli were preceded by high-disgust cues or olfactory stimuli preceded by high-pain cues. However, these effects were stronger in consistent than inconsistent conditions. Taken together, our results suggest that expectation of an unpleasant event elicits representations of both its modality-specific properties and its aversive consequences.