Real-time functional magnetic resonance imaging (rt-fMRI) neurofeedback allows learning voluntary control over specific brain areas by means of operant conditioning and has been shown to decrease pain perception. To further increase the effect of rt-fMRI neurofeedback on pain, we directly compared two different target regions of the pain network, notably the anterior insular cortex (AIC) and the anterior cingulate cortex (ACC). Participants for this prospective study were randomly assigned to two age-matched groups of 14 participants each (7 females per group) for AIC and ACC feedback. First, a functional localizer using block-design heat pain stimulation was performed to define the pain-sensitive target region within the AIC or ACC. Second, subjects were asked to down-regulate the BOLD activation in four neurofeedback runs during identical pain stimulation. Data analysis included task-related and functional connectivity analysis. At the behavioral level, pain ratings significantly decreased during feedback vs. localizer runs, but there was no difference between AIC and ACC groups. Concerning neuroimaging, ACC and AIC showed consistent involvement of the caudate nucleus for subjects that learned down-regulation (17/28) in both task-related and functional connectivity analysis. The functional connectivity toward the caudate nucleus is stronger for the ACC while the AIC is more heavily connected to the ventrolateral prefrontal cortex. Consequently, the ACC and AIC are suitable targets for real-time fMRI neurofeedback during pain perception as they both affect the caudate nucleus, although functional connectivity indicates that the direct connection seems to be stronger with the ACC. Additionally, the caudate, an important area involved in pain perception and suppression, could be a good rt-fMRI target itself. Future studies are needed to identify parameters characterizing successful regulators and to assess the effect of repeated rt-fMRI neurofeedback on pain perception.