I wonder if I'm the only one who finds water helps a bit. I know it's not water soluble, but it has the effect of evenly distributing the burn around my mouth, which feels better to me.

For some reason I'm a lot more bothered by extremely localized pain than evenly distributed pain, when you chew a pepper you tend to e.g. disproportionately burn on one side of your tongue. Drinking some water and swishing it around in your mouth solves that problem.

I've heard water can break down the capsaicin into smaller parts. Could be what's happening here.

Could it be psychological also? Like a placebo?

It is soluble in alcohol! Now, I don’t know if drinking alcohol with spicy food actually helps the burn, but it can certainly help take your mind off it.

I know (and knew). It was pain control, not capsaicin control. Fortunately they had some disgusting Oreo-cookie like ice cream sandwich that I got in the end.

Alcohol works too! ;D