To investigate whether occupants’ anticipated control of their thermal environment can influence their thermal comfort and to explain why the acceptable temperature range in naturally ventilated environments is greater than that in air-conditioned environments, a series of experiments were conducted in a climate chamber in which the thermal environment remained the same but the psychological environment varied. The results of the experiments show that the ability to control the environment can improve occupants’ thermal sensation and thermal comfort. Specifically, occupants’ anticipated control decreased their thermal sensation vote (TSV) by 0.4–0.5 and improved their thermal comfort vote (TCV) by 0.3–0.4 in neutral-warm environment. This improvement was due exclusively to psychological factors. In addition, having to pay the cost of cooling had no significant influence on the occupants’ thermal sensation and thermal comfort in this experiment. Thus, having the ability to control the thermal environment can improve occupants’ comfort even if there is a monetary cost involved.