Abstract Depression has been characterized in recent years in terms of deficits in positive affect and an underactive approach-related motivational system. Consistent with this view, behavioral and electrocortical studies suggest that reduced sensitivity to rewards may be a fundamental feature of depression. Within the event-related potential literature, the feedback negativity (FN) has been identified as a component that is sensitive to feedback indicating non-rewards versus rewards, and has been linked to phasic changes in midbrain dopamine levels that indicate whether events are better or worse than expected; thus, the FN may be a useful marker for abnormalities in reward sensitivity associated with depression. In the current study, a simple gambling task was used to elicit an FN in participants, and the magnitude of the FN was related to levels of depressive symptoms, as well as levels of anxiety and stress. The enhancement of the FN to non-rewards relative to rewards was found to be inversely related to depression and stress reactivity; only the relationship between the FN and stress remained significant after controlling for the other psychological variables. The P3 to feedback, meanwhile, was inversely related to depression and anxiety scores regardless of feedback type. These results are discussed within the context of current models of depression and reward sensitivity.