Medial frontal activity in the EEG is enhanced following negative feedback and varies in relation to dimensions of impulsivity. In 22 undergraduate students (M age = 18.92 years, range 18–22 years), we employed a probabilistic negative reinforcement learning paradigm in which choices to avoid were followed by cues indicating successful or unsuccessful avoidance of an impending aversive noise. Our results showed that medial frontal theta power was enhanced following a cue that signaled avoidance was unsuccessful. In addition, self-reported lack of perseverance, a dimension of impulsivity characterized by an inability to maintain focus and determination during a challenging task, was negatively correlated with medial frontal theta elicited to an unsuccessful avoidance cue. We also observed robust differences in alpha attenuation and beta modulation following unsuccessful avoidance cue presentation. To our knowledge, this is the first study in humans to show a functional relation between medial frontal theta modulation and avoidance success. We discuss our findings in the context of frontal theta and self-regulation, negative reinforcement, and anxiety.