The aim of this study was to investigate the association of stress and anxiety with the expectation, perception and memory of dental pain among schoolchildren. A follow-up study involving 46 children aged 9 to 12 years was conducted in a public school in the city of Petropolis (RJ), Brazil. Demographic characteristics, stress (children’s stress scale), and state and trait anxiety (state–trait anxiety inventory) were recorded before a dental procedure to restore the occlusal surface of a permanent first molar under local anaesthetic. Dental pain was assessed using the faces pain scale before (dental pain expectation), immediately after (dental pain perception) and six weeks after (memory of dental pain) the dental procedure. Dental pain expectation scores were significantly higher than dental pain perception, independent of the levels of stress, state anxiety and trait anxiety. Children with high scores of stress (OR 1.05 95%CI 1.02–1.09), state anxiety (OR 1.15 95%CI 1.05–1.27) and trait anxiety (OR 1.18 95%CI 1.07–1.30) were more likely to report greater scores of dental pain expectation. Children anticipated more dental pain than what was actually perceived after the dental restoration. Children with greater levels of stress and anxiety have a distorted evaluation of expected dental pain before the dental procedure.