Auditory commands are often executed more efficiently than visual commands. However, empirical evidence on the underlying behavioral and neural mechanisms remains scarce. In two experiments, we manipulated the delivery modality of informative cues and the prediction violation effect and found consistently enhanced RT benefits for the matched auditory cues compared with the matched visual cues. At the neural level, when the bottom–up perceptual input matched the prior prediction induced by the auditory cue, the auditory-thalamic pathway was significantly activated. Moreover, the stronger the auditory-thalamic connectivity, the higher the behavioral benefits of the matched auditory cue. When the bottom–up input violated the prior prediction induced by the auditory cue, the ventral auditory pathway was specifically involved. Moreover, the stronger the ventral auditory-prefrontal connectivity, the larger the behavioral costs caused by the violation of the auditory cue. In addition, the dorsal frontoparietal network showed a supramodal function in reacting to the violation of informative cues irrespective of the delivery modality of the cue. Taken together, the results reveal novel behavioral and neural evidence that the superior efficiency of the auditory cue is twofold: The auditory-thalamic pathway is associated with improvements in task performance when the bottom–up input matches the auditory cue, whereas the ventral auditory-prefrontal pathway is involved when the auditory cue is violated.