The human brain extracts statistical regularities from the surrounding environment in a process referred to as statistical learning. Recent behavioural evidence suggests that developmental dyslexia affects statistical learning. However, surprisingly few neurophysiological studies have assessed how developmental dyslexia affects the neural processing underlying statistical learning. In this study, we used electroencephalography to explore the neural correlates of an important aspect of statistical learning, sensitivity to transitional probabilities, in individuals with developmental dyslexia. Adults diagnosed with developmental dyslexia (n = 17) and controls (n = 19) were exposed to a continuous stream of sound triplets in which a few triplet endings were location deviants (i.e., were presented from an unexpected speaker direction) or statistical deviants (i.e., had a low transitional probability given the triplet's first two sounds). Location deviants elicited a large location mismatch negativity (MMN), which was larger in controls than dyslexics. Statistical deviants elicited a small, yet significant statistical MMN (sMMN) in controls, whereas the dyslexic individuals did not exhibit a statistical MMN. These results suggest that the neural mechanisms underlying statistical learning are impaired in developmental dyslexia.