During real-life situations, multiple factors interact dynamically to determine threat level. In the current fMRI study involving healthy adult human volunteers, we investigated interactions between proximity, direction (approach vs. retreat), and speed during a dynamic threat-of-shock paradigm. As a measure of threat-evoked physiological arousal, skin conductance responses were recorded during fMRI scanning. Some brain regions tracked individual threat-related factors, and others were also sensitive to combinations of these variables. In particular, signals in the anterior insula tracked the interaction between proximity and direction where approach versus retreat responses were stronger when threat was closer compared with farther. A parallel proximity-by-direction interaction was also observed in physiological skin conductance responses. In the right amygdala, we observed a proximity by direction interaction, but intriguingly in the opposite direction as the anterior insula; retreat versus approach responses were stronger when threat was closer compared with farther. In the right bed nucleus of the stria terminalis, we observed an effect of threat proximity, whereas in the right periaqueductal gray/midbrain we observed an effect of threat direction and a proximity by direction by speed interaction (the latter was detected in exploratory analyses but not in a voxelwise fashion). Together, our study refines our understanding of the brain mechanisms involved during aversive anticipation in the human brain. Importantly, it emphasizes that threat processing should be understood in a manner that is both context-sensitive and dynamic.