The Monty Hall Dilemma (MHD) poses a counterintuitive probabilistic problem to the players of this game. In the MHD task, a participant chooses one of three options where only one contains a reward. After one of the unchosen options (always no reward) is disclosed, the participant is asked to make a final decision: either change to the remaining option or stick with their first choice. Although the probability of winning if they change is higher (2/3) compared to sticking with their first choice (1/3), most people stick with their original selection and often lose. In accordance with previous research, repetitive exposure to the MHD task increases the change behavior without any obvious understanding of the mathematical reasons why changing increases their chance of being rewarded. We recorded the stimulus‐preceding negativity (SPN), an ERP that might reflect the informative value of the feedback. In the second half of the task, feedback was predicted to be less informative because learning had taken place. Indeed, the SPN amplitude became smaller over the frontal region. Also, the SPN amplitude was larger for change than for stick trials. These results suggest that learning in the MHD might be manifest in affective‐motivational anticipation as indicated by the SPN.