This study examined the role of expectancy in the placebo effect of a sham dietary supplement for weight loss in 114 obese adults with metabolic syndrome. All participants received lifestyle education and were randomized to 1 of 3 conditions: (1) a daily placebo capsule and told that they were taking an active weight loss supplement, (2) daily placebo and told they had a 50% random chance of receiving either the active or placebo, or (3) no capsules. At 12 weeks, weight loss and metabolic outcomes were similar among the 3 groups. Participants in both groups that took capsules showed decreased weight loss self-efficacy and increased expectations of benefit from dietary supplements. Participants not taking capsules showed the opposite. Adverse events were more frequently reported in groups taking capsules than those who were not. These findings suggest that supplements without weight loss effects may have nocebo effects through diminished self-efficacy.