Anhedonia is characterized by a reduced capacity to experience pleasure in response to rewarding stimuli and has been considered a possible candidate endophenotype in depression and schizophrenia. In this chapter we will focus on recent studies in which new electrophysiological brain measures (event-related brain potentials and oscillatory activity) have been used to understand the deficits in reward processing in anhedonic subclinical and clinical samples. The advantage of these neuroimaging techniques is that they provide time-sensitive measures that could be especially relevant to disentangle the differences between anticipatory and/or consummatory experiences of pleasure in anhedonia. Furthermore, because of the close interrelationship between reward and learning processes, we will review evidence showing how learning and reinforcement styles could influence the capacity to accurately anticipate positive rewarding experiences in anhedonics as well as in depressive patients. At the motivational level, this cognitive bias could be translated not only into an increased susceptibility to avoid potential negative events but also into a reduced tendency to seek positive experiences or rewards. This interpretation is therefore in agreement with the idea that the effects observed in anhedonia with regard reward processing are more related to anticipatory rather than consummatory processes.