Anhedonia, a transdiagnostic symptom present in many neuropsychiatric disorders, differs in males and females. Parietal EEG alpha asymmetry is associated with reduced arousal and low positive emotionality, and is, therefore, a promising neurophysiologic biomarker of anhedonia. To date, however, no prior studies have determined whether this measure captures sex differences in anhedonic expression. This preliminary study (N = 36) investigated whether anhedonia severity is associated with EEG resting-state parietal alpha asymmetry in adults and whether sex moderates this relationship. Results showed that there was a significant moderating effect of sex such that, only for females, higher levels of anhedonia were associated with increased parietal alpha asymmetry. These findings suggest that parietal alpha asymmetry is a promising biomarker of anhedonia severity in female adults and reinforces the need to account for sex differences in future research.