Major Depressive Disorder (MDD) is associated with impaired processing and regulation of emotions. A vast body of research has elucidated the altered neural processes that occur in response to emotional stimuli, while little is known about anticipatory processes. Here we used functional magnetic resonance imaging (fMRI) to investigate neural activation during the presentation and anticipation of negative stimuli. Furthermore, we examined the effects of an 8-week antidepressant treatment with escitalopram. We matched 12 unmedicated MDD patients and 12 healthy control participants to perform a task involving affective pictures. The design of our event-related task consisted of presenting positive, negative, and neutral pictures from the International Affective Picture System (IAPS) across two runs and under opposite conditions. For the ‘expected’ condition, the pictures were cued by a word indicating their emotional valence; whereas the ‘unexpected’ condition had a combination of random letters precede the emotion picture. MDD patients displayed greater amygdala activation when anticipating negative pictures and greater prefrontal activation when confronted with them without the anticipatory cues. After antidepressant treatment, both amygdala and prefrontal activation decreased significantly in the treated MDD patients relative to controls. These findings show that the neural mechanisms of emotion anticipation and processing are altered in patients with MDD and that these alterations are able to normalize after treatment with an antidepressant.