This study examined the correlations of affective and cognitive components of empathy with reward anticipation toward monetary and social incentives in individuals with social anhedonia (SocAnh). According to the scores on the Revised Social Anhedonia Scale, 109 participants were divided into high (n = 57) and low (n = 52) SocAnh groups. Empathy was assessed with the Questionnaire of Cognitive and Affective Empathy (QCAE) and the Interpersonal Reactivity Index (IRI) Scale. Social and non-social reward anticipations were assessed by the Social and Monetary Incentive Delay Tasks, respectively. We performed independent-sample t tests and repeated-measures ANOVAs to examine the group differences on empathy and reward anticipation. Correlation analyses between empathy and reward anticipation were conducted. Results showed that the high SocAnh group reported reduced scores on empathy and reward anticipation for monetary and social incentives compared to their low SocAnh counterparts. Correlation analysis further indicated that monetary reward anticipation correlated with cognitive empathy, while social reward anticipation correlated with affective empathy. Our findings suggested that participants with high SocAnh exhibited poorer empathy and reduced reward anticipation than those with low SocAnh level. More importantly, social and non-social reward anticipation may distinctly contribute to affective and cognitive components of empathy.