Strategies of cognitive control are helpful in reducing anxiety experienced during anticipation of unpleasant or potentially unpleasant events. We investigated the associated cerebral information processing underlying the use of a specific cognitive control strategy during the anticipation of affect-laden events. Using functional magnetic resonance imaging, we examined differential brain activity during anticipation of events of unknown and negative emotional valence in a group of eighteen healthy subjects that used a cognitive control strategy, similar to "reality checking" as used in psychotherapy, compared with a group of sixteen subjects that did not exert cognitive control. While expecting unpleasant stimuli, the "cognitive control" group showed higher activity in left medial and dorsolateral prefrontal cortex areas but reduced activity in the left extended amygdala, pulvinar/lateral geniculate nucleus and fusiform gyrus. Cognitive control during the "unknown" expectation was associated with reduced amygdalar activity as well and further with reduced insular and thalamic activity. The amygdala activations associated with cognitive control correlated negatively with the reappraisal scores of an emotion regulation questionnaire. The results indicate that cognitive control of particularly unpleasant emotions is associated with elevated prefrontal cortex activity that may serve to attenuate emotion processing in for instance amygdala, and, notably, in perception related brain areas.