Decision making based on feedback learning requires a series of cognitive processes, including estimating the probability of particular outcomes and modulating expectations between expected versus actual outcomes. It has been suggested that stress affects decision making and subsequent processing of feedback valence and magnitude. However, less is known about the effect of acute stress on reward expectancy. In the current study, participants performed a probabilistic learning task, in which they learned an association between response and feedback within different reward expectancy trials (30% and 70%) under the conditions of stress (threat of shock) and safety (no shock). We recorded event-related potentials (ERPs) to measure the reward positivity (RewP) which reflects reward prediction error signals during feedback processing. Behavioral data indicated that participants performed better in the 70% reward trials than in the 30% reward trials. However, no significant difference was observed between stress and safe conditions. Importantly, ERP results indicated that unexpected feedback elicited larger RewP than did expected feedback and this expectancy effect of RewP was reduced in the stress relative to safe condition. Moreover, the correlations between RewP and choice accuracy (70% - 30% reward condition) in the safe and stress conditions were in a similar pattern; yet, only in the stress condition the correlation reached significantly. This may indicate that blunted RewP was associated with impaired performance at an individual level. Our study provides ERP evidence that acute stress affects brain responses to reward prediction error processing, which may explain various abnormal learning behaviors associated with stress-related disorders.