Patients with depression show an impaired ability to modulate emotional states and to process positive emotional information. Here we examined expectancy-induced modulation of emotional picture processing in major depression. We hypothesized alterations in the medial prefrontal cortex. During fMRI, 15 depressed and 21 healthy control subjects passively viewed affective photographs. Half of the pictures were preceded by an expectancy cue signaling whether an emotionally salient or neutral picture would follow. The contrast 'cued versus uncued emotional picture viewing' was used to study modulation of emotional picture processing by preceding attention. Healthy individuals showed enhanced activation in the dorsomedial prefrontal cortex and decreased activation in the dorsolateral prefrontal cortex during cued compared to uncued emotional picture perception. The group comparison revealed that these modulatory effects were significantly attenuated in depressed patients. This attenuation was particularly observed in the positive compared to the negative picture condition and tended to normalize in the dorsomedial prefrontal cortex after remission of symptoms. Altered prefrontal modulation in depression may contribute to impaired affect modulation and related clinical symptoms, such as anhedonia.