Language models still struggle on moral reasoning, despite their impressive performance in many other tasks. In particular, the Moral Scenarios task in MMLU (Multi-task Language Understanding) is among the worst performing tasks for many language models, including GPT-3. In this work, we propose a new prompting framework, Thought Experiments, to teach language models to do better moral reasoning using counterfactuals. Experiment results show that our framework elicits counterfactual questions and answers from the model, which in turn helps improve the accuracy on Moral Scenarios task by 9% to 16% compared to other zero-shot baselines. Interestingly, unlike math reasoning tasks, zero-shot Chain-of-Thought (CoT) reasoning doesn’t work out of the box. Zero-shot CoT reduces accuracy by around 4% compared to direct zero-shot. We further observed that with minimal human supervision in the form of 5 few-shot examples, the accuracy of the task can be improved to as much as 80.45%.