Previous research has demonstrated that reward-related neural activity is enhanced for choice relative to no-choice opportunities in the gain context. The current event-related potential study examined whether this modulatory effect of choice can be observed in both the gain and the loss contexts across anticipatory and consummatory phases of incentive processing. Thirty-two participants performed a simple choice task during which choices were made either by themselves (a choice condition) or by a computer (a no-choice condition) during a gain context (gain vs nongain) and a loss context (nonloss vs loss). Behaviorally, participants reported a higher level of perceived control in the choice than the no-choice condition as well as in the gain than loss context. During the anticipatory phase, the choice relative to the no-choice condition elicited an increased cue-P3 in the loss context and an enhanced stimulus-preceding negativity in the gain context. During the consummatory phase, the choice condition elicited a larger reward positivity (Delta RewP) than the no-choice condition in the gain relative to the loss context but a comparable feedback P3 across contexts. These findings demonstrate that the crucial role of voluntary choice in reward processing is contingent upon contextual valence.