Background Primary appraisals of pain as a potential threat influence pain perception and coping but comparatively less is known about related effects of challenge appraisals or causal effects of primary appraisals on secondary appraisals of perceived pain coping capacities (e.g., pain self-efficacy). Methods To address these gaps, young Chinese women (N = 147) and men (N = 88) were randomly assigned to one of three appraisal conditions prior to engaging in a cold pressor test (CPT): (1) a higher threat appraisal condition featuring task orienting information describing symptoms and consequences of frostbite, (2) a lower threat appraisal condition featuring orienting information about safety of the CPT, or (3) a challenge appraisal condition featuring orienting information describing benefits of persistence despite discomfort for future life satisfaction. Results Compared to peers in the higher threat condition, challenge condition cohorts experienced smaller decreases in task-related self-efficacy, more cognitive coping, and less catastrophizing as well as more overall pain tolerance. A path analysis indicated that self-efficacy changes, cognitive coping and catastrophizing fully mediated links of subjective challenge and threat appraisals with pain tolerance. Conclusions Initial appraisals about the nature of pain influence, not only pain tolerance and coping, but also perceived coping capacities. Perspective Through examining particular theory-based pain appraisal and coping processes, this experiment is the first to identify both perceived coping capacities (pain self-efficacy) and coping responses as factors that explain why appraisals of pain as a challenge or threat have differential effects on pain tolerance.