When meeting other people, some are optimistic and expect to be accepted by others, whereas others are pessimistic and expect mostly rejections. How social feedback is evaluated in situations that meet or do not meet these biases and how people differ in their response to rejection and acceptance depending on the social situation are unknown. In this study, participants experienced rejection and acceptance by peers in two different social contexts, one with high (negative context) and the other with low probability of rejection (positive context). We examined how the neural and behavioral responses to rejection are altered by this context and whether it depends on the individual's sensitivity to rejection. Behavioral results show that, on average, people maintain an optimistic bias even when mostly experiencing rejection. Importantly, personality differences in rejection sensitivity affected both prior expectations to be rejected in the paradigm and the extent to which expectations changed during the paradigm. The context also strongly modulated ERPs and theta responses to rejection and acceptance feedback. Specifically, valence effects on neural responses were enhanced in the negative context, suggesting a greater relevance to monitor social feedback in such a situation. Moreover, midfrontal theta predicted how expectations were changed in response to prediction errors, stressing a role for theta in learning from social feedback. Surprisingly, interindividual differences in rejection sensitivity did not affect neural responses to feedback. Our results stress the importance of considering the interaction between subjective expectations and the social context for behavioral and neural responses to social rejection.