Shyness has been associated with hyper‐responsivity to both social feedback and monetary reward. Electrophysiological paradigms investigating sensitivity to social feedback frequently use emotional face stimuli as their main measure. However, some behavioural evidence suggests that shy individuals show aberrant responses to non‐social rewards as well. Here, we investigate the neurophysiological correlates of adolescent shyness in a group of 12–14 year olds as they performed a simple reaction time task with embedded rewards and losses. High‐shy adolescents had more positive late P2/early N2 responses to cues signalling the potential to win or lose money than did low‐shy adolescents. Regardless of feedback type (e.g. win or loss), high‐shy adolescents showed more positive frontal P2 and late FRN amplitudes than did low‐shy adolescents. This suggests that high‐shy adolescents are hyper‐attentive to both environmental cues about forthcoming behavioural requirements and feedback from the environment about their behaviour. P2 results were not attributable to anxiety levels, whereas the FRN effect did not remain once anxiety was controlled for. Anxiety has sometimes been associated with amplitudes of similar ERP components and is often correlated with shyness. Copyright © 2014 John Wiley & Sons, Ltd.