Reflexes use neural pathways that do not pass directly to the brain. These "Reflex arcs" travel from the sensory neurons to the spinal cord where spinal motor neurons are activated, and then stimulate the affected muscles. This allows the reflexes to occur much more quickly than they would if they went to the brain, and also why they are involuntary.

Your brain does still receive the sensory input while the reflex is happening, but it isn't processed until about 10-30 milliseconds after the fact. That's why your first instinct when you touch a hot stove is to pull your hand back, but you can still force yourself to hold your hand there if you REALLY want to burn yourself.

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^{Feel free to correct anything I've gotten wrong.}