Background Engaging clients in psychotherapy by managing their expectations is important for therapeutic success. Initial moments in first sessions of therapy are thought to afford an opportunity to establish a shared understanding of how therapy will proceed. However, there is little evidence from analysis of actual sessions of therapy to support this. Objective This study utilised recorded session logs to examine how therapists manage clients’ expectations during the first two sessions of online Cognitive Behavioural Therapy (CBT). Methods Expectation management was investigated through conversation analysis of sessions from 176 client‐therapist dyads involved in online CBT. The primary focus of analysis was expectation management during the initial moments of first sessions, with a secondary focus on expectations at subsequent points. Analysis Clients’ expectations for therapy were most commonly managed during the initial moments of first sessions of therapy. At this point, most therapists either produced a description outlining the tasks of the first and subsequent sessions (n = 36) or the first session only (n = 108). On other occasions (n = 32), no attempt was made to manage clients’ expectations by outlining what would happen in therapy. Observations of the interactional consequences of such an absence suggest clients may struggle to engage with the therapeutic process in the absence of appropriate expectation management by therapists. Conclusion Clients may more readily engage from the outset of therapy when provided with an explanation that manages their expectation of what is involved. Therapists can accomplish this by projecting how therapy will proceed, particularly beyond the initial session.