Alexithymia is characterized by difficulties in different domains of emotion processing, especially in relation to negative emotions. Nevertheless, its causal mechanisms remain elusive. Reduced anticipation of negative emotional events might be one such mechanism because it enables the individual to prepare to respond effectively to coming events. To test this, changes in skin conductance response (SCR) were recorded during classical fear conditioning in sixty participants with high (HA), medium (MA) and low (LA) levels of alexithymia. Two coloured squares were presented, one was reinforced with a mild electrical stimulation (CS+) while the other was never reinforced (CS−). Critically, despite all groups showing higher SCR to CS+ compared to CS−, SCR to CS+ was lower and extinguished earlier in HA compared to MA and LA. These differences appeared to be attributable neither to differences in the intensity of stimulation received, nor to SCR to the stimulation itself. Groups showed comparable SCR to CS− as well. Therefore, HA exhibited decreased anticipation of the occurrence of a negative emotional event. Disruption of this mechanism may then compromise effective emotion recognition, emotional response and response regulation, which characterise HA, and represent a unifying causal mechanism underlying the difficulties in emotion processing of this group.