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. However, it is still not well understood whether these reward deficits are confined to anticipatory and/or to consummatory experiences of pleasure. In the present study, we recorded electrophysiological responses (event-related brain potentials [ERPs] and oscillatory activity) to monetary gains and losses in extreme groups of anhedonic and nonanhedonic participants. The anhedonic participants showed reduced motivation to incur risky decisions, especially after monetary rewards. These sequential behavioral effects were correlated with an increased sensitivity to punishment, which psychometrically characterized the anhedonic group. In contrast, both electrophysiological measures associated with the impacts of monetary losses and gains—the feedback-related negativity (FRN) and the beta–gamma oscillatory component—clearly revealed preserved consummatory responses in anhedonic participants. However, anhedonics showed a drastic increase in frontal medial theta power after receiving the maximum monetary gain. This increase in theta oscillatory activity could be associated with an increase in conflict and cognitive control for unexpected large positive rewards, thus indexing the violation of default negative expectations built up across the task in anhedonic participants. Thus, the present results showed that participants with elevated scores on Chapman’s Physical Anhedonia Scale were more sensitive to possible punishments, showed deficits in the correct integration of response outcomes in their actions, and evidenced deficits in sustaining positive expectations of future rewards. This overall pattern suggests an effect of anhedonia in the motivational aspects of approach behavior rather than in consummatory processes.