Anxiety is one of the most prevalent mental health problems; it is known to impede cognitive functioning. It is believed to alter preferences for feedback-based learning in anxious and non-anxious learners. Thus, the present study measured feedback processing in adults (N = 30) with and without anxiety symptoms using a probabilistic learning task. Event-related potential (ERP) measures were used to assess how the bias for either positive or negative feedback learning is reflected by the feedback-related negativity component (FRN), an ERP extracted from the electroencephalogram. Anxious individuals, identified by means of the Penn State Worry Questionnaire, showed a diminished FRN and increased accuracy after negative compared to positive feedback. Non-anxious individuals exhibited the reversed pattern with better learning from positive feedback, highlighting their preference for positive feedback. Our ERP results imply that impairments with feedback-based learning in anxious individuals are due to alterations in the mesolimbic dopaminergic system. Our finding that anxious individuals seem to favor negative as opposed to positive feedback has important implications for teacher-student feedback communication.