A review of Pavlovian conditioning in animals and humans reveals a critical role for expectancy in the learning of an association between a conditioned stimulus (CS) and an unconditioned stimulus (US), as well as in the expression of this association in a conditioned response (CR). The automatic and involuntary nature of CRs has traditionally been explained in terms of the formation of excitatory or inhibitory links between representations of the CS and US. However, this view has difficulty accounting for the variety of CRs that are observed, some qualitatively different from those elicited by the US, depending on the imminence of the predicted US and the nature of the CS. Furthermore, in humans, the same anticipatory responses are seen when the CS-US relationship is instructed rather than experienced and when the imminent occurrence of the US is directly instructed, without a mediating CS. These findings suggest an alternative explanation in which CRs are anticipatory responses elicited automatically by a specific state of expectancy of the US. The similarity between Pavlovian conditioning in animals and humans in turn suggests a continuity of core mechanisms for learning and performance. We conclude that research and theory in Pavlovian conditioning should go beyond the search for direct CS-US connections and seek to understand the mechanisms that underlie CS-US contingency knowledge, expectancy states, and the generation of anticipatory responses.