Beliefs—attitudes toward some state of the environment—guide action selection and should be robust to variability but sensitive to meaningful change. Beliefs about volatility (expectation of change) are associated with paranoia in humans, but the brain regions responsible for volatility beliefs remain unknown. The orbitofrontal cortex (OFC) is central to adaptive behavior, whereas the magnocellular mediodorsal thalamus (MDmc) is essential for arbitrating between perceptions and action policies. We assessed belief updating in a three-choice probabilistic reversal learning task following excitotoxic lesions of the MDmc (n = 3) or OFC (n = 3) and compared performance with that of unoperated monkeys (n = 14). Computational analyses indicated a double dissociation: MDmc, but not OFC, lesions were associated with erratic switching behavior and heightened volatility belief (as in paranoia in humans), whereas OFC, but not MDmc, lesions were associated with increased lose-stay behavior and reward learning rates. Given the consilience across species and models, these results have implications for understanding paranoia.