To investigate the effect of uncertain information in the anticipation phase, this study used four cues to inform participants that they would face four kinds of subsequent electrical shocks: low-intensity shock, high-intensity shock, 50–50% chance of low-intensity or high-intensity shock, and no shock. Subjective evaluation on the anxiety elicited by different cues showed that uncertain cues aroused higher anxiety than certain cues, but the effect was observed only at low-intensity shock. The electroencephalogram data revealed that uncertain-shock cue elicited significantly larger stimulus-preceding negativity than certain-high-shock cue at the frontal site. The uncertain-shock cue and certain-high-shock cue both elicited significantly larger stimulus-preceding negativity than the cues of certain-low-shock and nonshock, respectively. Uncertain cues elicited significantly larger pain-evoked P2 than certain cues. The results implied that uncertainty of information regarding shock intensity captured more motivational engagement, aroused higher anxiety on anticipating for the electrical shock, and elicited higher perceived pain of shock stimulation.