The placebo effect has intrigued scientists since it was proposed. The debate has now centered on how it works. Significant progress has been made and most of our knowledge about the neurobiological mechanisms comes from the field of pain and analgesia. The appropriateness of the experimental/clinical paradigms is crucial when we want to investigate the mechanisms of the placebo phenomenon. Recently, functional imaging techniques, such as positron emission tomography, magnetic resonance imaging, and electro/magnetoencephalography have also given the opportunity to define the neuroanatomical bases of placebo analgesia. This work systematically reviews the literature that deals with placebo analgesia, emphasizing both the methodological aspects and the neurobiological advances. The understanding of placebo mechanisms is fundamental and necessary to identify ways of accessing and harnessing these mechanisms in clinical practice to the patient's benefit.