The main aim of this research was to study the effects of response feedback on risk behavior and the neural and cognitive mechanisms involved, as a function of the feedback contingency. Sixty drivers were randomly assigned to one of three feedback groups: contingent, non-contingent and no feedback. The participants' task consisted of braking or not when confronted with a set of risky driving situations, while their electroencephalographic activity was continuously recorded. We observed that contingent feedback, as opposed to non-contingent feedback, promoted changes in the response bias towards safer decisions. This behavioral modification implied a higher demand on cognitive control, reflected in a larger amplitude of the N400 component. Moreover, the contingent feedback, being predictable and entailing more informative value, gave rise to smaller SPN and larger FRN scores when compared with non-contingent feedback. Taken together, these findings provide a new and complex insight into the neurophysiological basis of the influence of feedback contingency on the processing of decision-making under risk. We suggest that response feedback, when contingent upon the risky behavior, appears to improve the functionality of the brain mechanism involved in decision-making and can be a powerful tool for reducing the tendency to choose risky options in risk-prone individuals.