Depressive illness is associated with sustained widespread cognitive deficits, in addition to repeated experience of distressing emotions. An accepted theory, which broadly accounts for features of the syndrome, and its delayed response to antidepressant medication, is lacking. One possibility, which has received considerable attention, is that depressive illness is associated with a specific underlying deficit: a blunted or impaired ability to respond to feedback information. Unlike healthy controls, if patients with a depressive illness commit an error, they can be at increased risk of committing a subsequent error, possibly due to a failure to adjust performance in order to reduce the risk of error. In some speeded tasks, performance adjustment in humans is reliably associated with trial-to-trial change in reaction times (RTs), such as 'post-error slowing'. Previous studies of abnormal response to feedback have not investigated RT change in any detail. We used a combination of quantitative modelling of RTs and fMRI in 15 patients and 14 matched controls to test the hypothesis that depressive illness was associated with a blunted behavioural and neural response to feedback information during a gambling task. The results supported the hypothesis. Controls responded to negative ('lose') feedback by an increase in RT and activation of the anterior cingulate, the extent of which correlated with RT change. Patients did not significantly increase their RTs, nor activate the anterior cingulate. Controls responded to positive ('win') feedback by a reduction in RT and activation of the ventral striatum, the extent of which correlated with RT change. Patients neither reduced their RT nor activated the ventral striatum. RT adjustment correlated with self-reported anhedonia for both patients and controls. This behavioural deficit, together with its associated pattern of abnormal neural activity, implies that the anterior midline cortical substrate for error correction, which includes projections from the monoamine systems, is dysfunctional in depressive illness. Many studies have reported abnormalities of the medial frontal cortex in depressive illness; however, the mechanism by which antidepressant medication acts via the monoamine systems remains elusive. Our results suggest a direct link between the core subjective symptom of anhedonia, replicated neuropsychological deficits, electrophysiological and imaging abnormalities, and hypothesized dysfunction of the error correction system.