Dysfunctional reward processing has long been considered an important feature of major depressive disorder (MDD). However, depression is a heterogeneous construct and the nature of this heterogeneity may contribute to some of the inconsistent empirical findings on reward dysfunction in MDD. The current study examined 1 source of heterogeneity, melancholic symptoms, and its association with reward processing. In individuals with MDD (N = 141) and MDD-free controls (N = 113), electroencephalogram (EEG) alpha asymmetry was measured during a behavioral reward task that probed reward anticipation. Melancholic depression was measured both categorically (Diagnostic and Statistical Manual of Mental Disorders [DSM] diagnosis) and dimensionally (Hamilton Endogenomorphy Scale [HES]). Results showed that a dimensional (and not categorical) definition of melancholia predicted reward processing, with higher melancholic symptoms predicting reduced reward anticipation. Importantly, the effects of melancholic symptoms on reduced reward anticipation remained above and beyond overall depression severity. These results suggest that dysfunctional reward processing may only be associated with melancholic symptoms, not depression in general.