Recent research suggested a link between the prediction mechanism and depressive symptoms. While healthy people tend to maintain unrealistic optimism in the face of reality challenging their beliefs, depressed people show systematic pessimism. However, it remains unclear at which stage these individual differences in optimism/pessimism arise in the brain. In the current study we designed a simple gambling task with two difficulty levels, the easy game and the hard game. Participants were required to press one of four keys to gain a bonus signalled by a sinusoidal tone. For three of the four keys, the probability of getting a large bonus was 80% in the easy game and 8% in the hard game. In both games, the fourth key, randomly determined in each trial, yielded a large bonus with a probability of 100%. This arrangement allowed us to observe less/more depressed participants' optimistic/pessimistic expectations about hitting the key that guarantees a large bonus. The opposite expectation patterns of less/more depressed participants were reflected on the N1 amplitude. Meanwhile, all participants were well aware of the true probability of obtaining certain bonus in each game as reflected on the P3 amplitude. The results suggest that the subjective system (tracking subjective beliefs) and the objective system (tracking objective evidence) are dissociable in the human brain, with the former feeding information into sensory areas and the latter representing prediction errors on a higher level. Moreover, individual differences arise from variability in the former rather than the latter.