This study investigated the potential causes of anxious people's social avoidance. The classic ultimatum game was utilized in concert with electroencephalogram recording. Participants were divided into two groups according to levels of trait anxiety as identified by a self‐report scale. The behavioral results indicate that high‐anxious participants were more prone to reject human‐proposed than computer‐proposed unequal offers compared to their low‐anxious counterparts. The event‐related potential results indicate that the high‐anxious group showed a larger feedback‐related negativity when receiving unequal monetary offers than equal ones, and a larger P3 when receiving human‐proposed offers than computer‐proposed ones, but these effects were absent in the low‐anxious group. We suggest anxious people's social avoidance results from hypersensitivity to unequal distributions during interpersonal interactions.