The present study investigated the ERP correlates of the influence of tonal expectations on pitch processing. Participants performed a pitch discrimination task between penultimate and final tones of melodies. These last two tones were a repetition of the same musical note, but penultimate tones were always in tune whereas final tones were slightly out of tune in half of the trials. The pitch discrimination task allowed us to investigate the influence of tonal expectations in attentive listening and, for penultimate tones, without being confounded by decisional processes (occurring on final tones). Tonal expectations were manipulated by a tone change in the first half of the melodies that changed their tonality, hence changing the tonal expectedness of penultimate and final tones without modifying them acoustically. Manipulating tonal expectations with minimal acoustic changes allowed us to focus on the cognitive expectations based on listeners' knowledge of tonal structures. For penultimate tones, tonal expectations modulated processing within the first 100 msec after onset resulting in an Nb/P1 complex that differed in amplitude between tonally related and less related conditions. For final tones, out-of-tune tones elicited an N2/P3 complex and, on in-tune tones only, tonal manipulation elicited an ERAN/RATN-like negativity overlapping with the N2. Our results suggest that cognitive tonal expectations can influence pitch perception at several steps of processing, starting with early attentional selection of pitch.