Anhedonia is associated with reward-processing deficits of the dopamine system, which may increase the risk of depression. Nevertheless, few previous studies have examined the influence of hedonic tone on event-related potential (ERP) measures of reward processing in major depressive disorder. A simple gambling task was used to elicit feedback negativity (FN), an ERP component elicited by feedback indicating gain versus loss, in 27 patients with major depression and 27 healthy participants. We found that participants with depression were characterized by reduced FN responses, especially towards monetary gains, but not losses, compared with healthy individuals. In addition, the amplitude of FN to gain feedback in participants with depression was related to anhedonia severity and depressive symptoms. These findings indicate an association between low hedonic capacity and reduction in FN. As a neural measure of reward sensitivity, FN may be generated in part by reward-related activity. •Depressed patients demonstrated reduced feedback negativity (FN).•The FN amplitude to gain in depressed patients was related to anhedonia severity and depressive symptoms.•Trait anhedonia may exert a direct influence on the neutral activities to feedback processing.