Putting money at stake produces anticipatory uncertainty, a process that has been linked to key features of gambling. Here we examined how learning and individual differences modulate the stimulus preceding negativity (SPN, an electroencephalographic signature of perceived uncertainty of valued outcomes) in gambling disorder patients (GDPs) and healthy controls (HCs), during a non-gambling contingency learning task. Twenty-four GDPs and 26 HCs performed a causal learning task under conditions of high and medium uncertainty (HU, MU; null and positive cue-outcome contingency, respectively). Participants were asked to predict the outcome trial-by-trial, and to regularly judge the strength of the cue-outcome contingency. A pre-outcome SPN was extracted from simultaneous electroencephalographic recordings for each participant, uncertainty level, and task block. The two groups similarly learnt to predict the occurrence of the outcome in the presence/absence of the cue. In HCs, SPN amplitude decreased as the outcome became predictable in the MU condition, a decrement that was absent in the HU condition, where the outcome remained unpredictable during the task. Most importantly, GDPs’ SPN remained high and insensitive to task type and block. In GDPs, the SPN amplitude was linked to gambling preferences. When both groups were considered together, SPN amplitude was also related to impulsivity. GDPs thus showed an abnormal electrophysiological response to outcome uncertainty, not attributable to faulty contingency learning. Differences with controls were larger in frequent players of passive games, and smaller in players of more active games. Potential psychological mechanisms underlying this set of effects are discussed.