We have studied the magnetism of the Pr3+ ions in PrFeAsO_1-xF_x (x = 0; 0.15) and its interaction with the Fe magnetic order (for x = 0). Specific heat data confirm the presence of a first excited crystal electric field (CEF) level around 3.5 meV in the undoped compound PrFeAsO. This finding is in agreement with recent neutron scattering experiments. The doped compound is found to have a much lower first CEF splitting of about 2.0 meV. The Pr ordering in PrFeAsO gives rise to large anomalies in the specific heat and the thermal expansion coefficient. In addition, a field-induced transition is found at low temperatures that is most pronounced for the magnetostriction coefficient. This transition, which is absent in the doped compound, is attributed to a reversal of the Fe spin canting as the antiferromagnetic Pr order is destroyed by the external magnetic field.