Nervous systems exploit regularities in the sensory environment to predict sensory input, adjust behavior, and thereby maximize fitness. Entrainment of neural oscillations allows retaining temporal regularities of sensory information, a prerequisite for prediction. Entrainment has been extensively described at the frequencies of periodic inputs most commonly present in visual and auditory landscapes (e.g., >0.5 Hz). An open question is whether neural entrainment also occurs for regularities at much longer timescales. Here, we exploited the fact that the temporal dynamics of thermal stimuli in natural environment can unfold very slowly. We show that ultralow-frequency neural oscillations preserved a long-lasting trace of sensory information through neural entrainment to periodic thermo-nociceptive input as low as 0.1 Hz. Importantly, revealing the functional significance of this phenomenon, both power and phase of the entrainment predicted individual pain sensitivity. In contrast, periodic auditory input at the same ultralow frequency did not entrain ultralow-frequency oscillations. These results demonstrate that a functionally significant neural entrainment can occur at temporal scales far longer than those commonly explored. The non-supramodal nature of our results suggests that ultralow-frequency entrainment might be tuned to the temporal scale of the statistical regularities characteristic of different sensory modalities.