Whereas emotion regulation (ER) in response to distressing events is widely studied, the mechanisms underlying adaptive ER while anticipating these events are still unknown. In this study, we investigated how ER strategies and expectation influence (1) individuals’ anticipatory and online processing of self-relevant events, and (2) their affective response to them. Sixty-one healthy female participants were exposed to bogus positive and negative social feedback under reappraisal and watch instructions (no regulation). During the anticipatory period, participants were either expecting negative feedback or they had no expectation regarding the valence of the upcoming self-relevant feedback. Hence, negative feedback was, respectively, expected or unexpected. Participants’ affective responses were collected via self-report and electromyographic activity over the corrugator muscle. Results showed that participants’ negative affect (based on both self reports and EMG) was reduced by the instructions to reappraise as compared to the watch condition. Yet, such beneficial effect of reappraisal was: 1) not observed during the anticipation phase; and 2) less effective when social feedback was expected (as compared to not expected) prior to its presentation. Possibly, cognitive reappraisal might be less able to overcome the influence of negative forecasting of self-relevant negative emotional stimuli. Research findings are discussed in light of potential mechanisms underlying impaired adaptive emotion regulation in patients vulnerable for mood disorders.