We proposed that self-affirmation can endow people with more cognitive resource to cope with uncertainty. We tested this possibility with an event-related potential (ERP) study by examining how self-affirmation influences ambiguous feedback processing in a simple gambling task, which was used to investigate risk decision-making. We assigned 48 participants randomly to the affirmation and non-affirmation (i.e., control) groups. All participants accepted the manipulation first and then completed the gambling task with an electroencephalogram (EEG) recording, in which participants might receive a positive (winning), negative (losing), or ambiguous (unknown valence) outcome after they made a choice. We considered both the feedback-related negativity (FRN) and P3 components elicited by the outcome feedback, which reflected the amount of cognitive resources being invested in the early and late stages of the outcome feedback processing, respectively. ERP results showed that ambiguous feedback elicited a larger FRN among affirmed participants than unaffirmed participants but exerted no influence on the P3. This finding suggests that self-affirmation may help coping with uncertainty by enhancing the early processing of uncertainty.