In the present article, we will consider a conditional limit theorem and conditional asymptotic expansions. Our discussion will be based on the Malliavin calculus. First, we treat a problem of lifting limit theorems to their conditional counterparts. Next, we provide asymptotic expansions in a general setting including the so-called small σ-models. In order to give a basis to the asymptotic expansion scheme for perturbed jump systems, we will build an extension to the Watanabe theory in part. Finally, we derive the asymptotic expansions (double Edgeworth expansions) of conditional expectations.