The current study examined how the experience of choice by which individuals exercise control modulates risk processing during the anticipatory phase as indexed by the stimulus-preceding negativity (SPN), and the consummatory phase as indexed by the feedback-related negativity (FRN) and feedback P3 (fb-P3). Twenty-four participants performed a simple gambling task during which they could win or lose either a small (a low-risk condition) or a large (a high-risk condition) amount of points by either choosing freely between two doors (a choice condition) or accepting a computer-selected door (a no-choice condition) while their EEG was recorded. As expected, participants rated the high-risk condition as more risky than the low-risk condition and reported higher feelings of control for the choice versus no-choice condition. Regardless of the involvement of choice, risk processing in this task was associated with greater fb-P3 amplitudes. However, during the choice condition, risk processing was associated with a more negative SPN during the anticipatory phase and a more positive FRN during the consummatory phase, which was absent (the SPN) or reduced (the FRN) in the no-choice condition. These findings suggest that the modulation of risk processing by choice occurs during both the anticipatory phase and the consummatory phase, which may be driven by motivation salience imposed by control.