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Pain is a multifaceted and malleable sensory experience that is processed at all levels of the central nervous system (CNS). The experience of pain can vary widely across a healthy population and even within an individual and can be influenced by cognitive factors such as attention, expectation, suggestion, and attitudes. The neurophysiological role of attention in cognitive modulation of pain is the focus for the work presented in this review. Behavioral studies show that pain perception was reduced under cognitive loads that placed a continuous demand on executive functions such as working memory. Neuroimaging, pharmacological studies, and electrophysiological studies provide evidence that the underpinnings of cognitive modulation of pain involve a network of descending modulation of pain among cortical and brainstem structures. However, the role and relationship of subcortical regions in the brainstem and spinal cord during cognitive modulation of pain are not well understood. This review examines the neurophysiology of pain, processing in the CNS, and how cognitive factors such as attention can modulate nociceptive signaling and alter the perception of pain, especially at the subcortical level.