Cognitive models posit that the fear of negative evaluation (FNE) is a hallmark feature of social anxiety. As such, individuals with high FNE may show biased information processing when faced with social evaluation. The aim of the current study was to examine the neural underpinnings of anticipating and processing social-evaluative feedback, and its correlates with FNE. We used a social judgment paradigm in which female participants (N = 31) were asked to indicate whether they believed to be socially accepted or rejected by their peers. Anticipatory attention was indexed by the stimulus preceding negativity (SPN), while the feedback-related negativity and P3 were used to index the processing of social-evaluative feedback. Results provided evidence of an optimism bias in social peer evaluation, as participants more often predicted to be socially accepted than rejected. Participants with high levels of FNE needed more time to provide their judgments about the social-evaluative outcome. While anticipating social-evaluative feedback, SPN amplitudes were larger for anticipated social acceptance than for social rejection feedback. Interestingly, the SPN during anticipated social acceptance was larger in participants with high levels of FNE. None of the feedback-related brain potentials correlated with the FNE. Together, the results provided evidence of biased information processing in individuals with high levels of FNE when anticipating (rather than processing) social-evaluative feedback. The delayed response times in high FNE individuals were interpreted to reflect augmented vigilance imposed by the upcoming social-evaluative threat. Possibly, the SPN constitutes a neural marker of this vigilance in females with higher FNE levels, particularly when anticipating social acceptance feedback.