A number of studies have explored how rejection sensitivity (RS) affects the neural and physiological responses to stimuli with implicit rejection clues. Peer rejection during social interaction conveys explicit rejection feedback. The current event-related potentials (ERP) study using Chatroom task aimed to test to what extent RS modulated individuals’ psychological and neural response to explicit rejection feedback. The subjective ratings mainly demonstrated that RS modulated ostracism distress and negative mood following rejection feedback. The ERP results showed that compared with low RS individuals, both the parietal P3 and left frontal LPP responses towards rejection feedback were enhanced in high RS individuals, indicating that high RS individuals exhibit attentional bias, intense anger experience and lower emotion regulation towards rejection suggested by their neural responses. The current study provides a new insight into neural correlates of RS in the high ecological experimental context.