The current study used a modified Monetary Incentive Delay task to examine the neural mechanisms underlying anticipating and receiving an immediate or delayed reward and examined the influence of pursuing these rewards on cognitive task performance. A pre-cue indicating the potential of gaining a monetary reward (immediate-, delayed-, vs. no-reward) was followed by a target stimulus requiring a fast and accurate response. Then, response-contingent feedback was presented indicating whether or not the participant would receive the corresponding reward. Linear mixed-effect models revealed the fastest behavioural responses and the strongest neural activity, as reflected in event-related-potentials and event-related-spectral-perturbation responses, for immediate reward, followed by delayed reward, with the slowest behavioural responses and the weakest neural activities observed in the no-reward condition. Expectations related to the cue-P3 component and the cue-delta activities predicted behavioural performance, especially in the immediate reward condition. Moreover, exploratory analyses revealed that depression moderated the relationship between target-locked neural activity and behavioural performance in the delayed reward condition, with lower neural activity being related to worse behavioural performance amongst participants scoring high on depression. These results indicate that differential value representations formed through delay discounting directly affect neural responses in reward processing and directly influence the effort invested in the current task, which is reflected by behavioural responses and is in agreement with the expected value of control theory.