Background Major depressive disorder (MDD) creates debilitating effects on a wide range of cognitive functions, including reinforcement learning (RL). In this study, we sought to assess whether reward processing as such, or alternatively the complex interplay between motivation and reward might potentially account for the abnormal reward‐based learning in MDD. Methods A total of 35 treatment resistant MDD patients and 44 age matched healthy controls (HCs) performed a standard probabilistic learning task. RL was titrated using behavioral, computational modeling and event‐related brain potentials (ERPs) data. Results MDD patients showed comparable learning rate compared to HCs. However, they showed decreased lose‐shift responses as well as blunted subjective evaluations of the reinforcers used during the task, relative to HCs. Moreover, MDD patients showed normal internal (at the level of error‐related negativity, ERN) but abnormal external (at the level of feedback‐related negativity, FRN) reward prediction error (RPE) signals during RL, selectively when additional efforts had to be made to establish learning. Conclusions Collectively, these results lend support to the assumption that MDD does not impair reward processing per se during RL. Instead, it seems to alter the processing of the emotional value of (external) reinforcers during RL, when additional intrinsic motivational processes have to be engaged.