Excessive friction and elevated moisture in various skin–product interactions are critical physical factors in the development of skin pain or injuries. In this study, the impacts of skin moisture on friction-induced pain were targeted at the interface between residual limb skin and prosthetic socket based on subjective evaluation, skin friction, and neurophysiological responses of the brain. It showed that, compared with dry skin, the skin hydration and softening resulting from a moist environment increased the contact area, adhesion force, and friction of skin with silicone and foam liners. The subjective pain sensation and the stress acting on nerve endings induced by the frictional stimulation in moist conditions were higher than in dry conditions. Frictional pain can induce an enhancement in oxygenated hemoglobin (HbO) concentration, a decrease in power spectral density (PSD) within α bands, and an increase in β-PSD of electroencephalogram (EEG) signals, suggesting that attention was modulated by pain stimulation to facilitate neural processing response to pain. The brain response evoked by frictional pain under moist conditions was more intense and activated a wider range of brain regions. The findings proved the increased sensitivity of the skin surface and brain response to frictional pain under perspiration conditions. This study is helpful to understand the roles of skin moisture on frictional pain generation mechanisms from skin surface to brain response and to avoid further skin injury in various skin–product interactions as well as to provide theoretical guidance for the use of prosthetics.