In their adaptive control hypothesis, Cavanagh and Shackman (2015) recently claimed that dispositional anxiety is correlated with frontal‐midline theta (FMθ) as a generic “need for control” signal of the anterior midcingulate cortex. Here, we tested this assumption, also considering potential modulatory influences of anticipatory threat and individuals’ sex. In a nonclinical sample of 168 participants (84 women), electroencephalogram was recorded while individuals performed a simple two‐choice task. Half of the participants were assigned to a threat anticipation condition (anticipation of public speaking), whereas the other half was assigned to a control condition. State anxiety was monitored across the experiment. Dispositional anxiety was assessed by self‐report scales, which were completed before individuals came to the laboratory. Target stimuli in the two‐choice task induced a transient increase in FMθ power that was subject to an interaction of dispositional anxiety, sex, and experimental group. Only in women who anticipated public speaking did we observe a substantial positive relation between dispositional anxiety and general FMθ power. Our results indicate that the link between dispositional anxiety and FMθ is not universal but rather depends on complex interactions of individuals’ sex and situational threat.