Objective: Abnormal levels of polyunsaturated fatty acids (PUFAs) have been reported in individuals suffering from schizophrenia. The main aim of the present study was to investigate the relationship between erythrocyte membrane fatty acid levels and resting-state brain activity occurring in individuals at ultra-high risk (UHR) of psychosis. Method: The association between erythrocyte membrane fatty acids levels and resting-state brain activity and its value in predicting psychosis was examined in 72 UHR individuals. Results: In the frontal area, the activity in the fast frequency band Beta2 was positively associated with docosahexaenoic acid (DHA) levels (R = 0.321, P = 0.017), and in the fronto-central area, Beta2 activity showed a positive correlation with eicosapentaenoic acid (EPA) levels (R = 0.305, P = 0.009), regardless of psychosis transition status. Conversely, the slow frequency band Theta was significantly negatively associated with EPA levels in the parieto-occipital region (R = −0.251, P = 0.033. Results also showed that Alpha power was negatively correlated with DHA levels in UHR individuals who did not transition to psychosis, while this correlation was not present in individuals who later transitioned. Conclusion: Our results suggest that individuals at UHR for psychosis who have higher basal omega-3 fatty acids levels present with resting EEG features associated with better states of alertness and vigilance. Furthermore, the improvement in the Alpha synchrony observed along with increased DHA levels in participants who did not transition to psychosis is disturbed in those who did transition. However, these interesting results are limited by the small sample size and low statistical power of the study.