Previous research found that the neural substrates underlying perceived control highly overlap those of reward system, especially during reward anticipation stage. The current event-related potential study examined whether the experience of choice by which individuals exercise control is modulated by reward probability during reward anticipation stage as indexed by the stimulus-preceding negativity (SPN). Thirty participants performed a cued gambling task during which choices could be made either by themselves (a choice condition) or by a computer (a no-choice condition) with three levels of reward probability (low, medium, and high) while their EEG was recording. As expected, the participants perceived higher control during the choice compared to no-choice condition. Correspondingly, the SPN was enhanced in the choice condition than the no-choice condition. Critically, the SPN choice effect was present when reward probability was high and medium, but was diminished when reward probability was low. These findings suggest that the perceived control as exercised by choice is associated with reward anticipation, which may be sensitive to the fundamental properties of reward.