Abstract Objective Abnormalities in emotional processing are commonly seen in depression and anxiety, disorders also associated with decreased reward sensitivity i.e., anhedonia. We tested a noninvasive, cognitive training program aimed at boosting reward responsiveness and gaged if it may also improve affective processing efficiency. Methods Individuals (N = 50; 54% Female; 18–65 yo) with low hedonic tone (Positive and Negative Affect Scale/PANAS score < 25) and diagnostic levels of depression and/or anxiety (Patient Health Questionnaire-8/PHQ-8 or General Anxiety Disorder-7/GAD-7 score ≥ 10) who responded to community-posted flyers completed an affective go/no-go (AGN) task before and after completing an exploratory reward learning task, i.e., a multi-arm bandit (MAB). Participants were randomly assigned to a high-reward MAB training with either high variance (HV) or low variance (LV) in reward rates, HV being expected to boost reward maximization. In the AGN, participants saw negative and positive pictures and had to respond as fast as possible to pictures of a given target category (positive or negative). Results Following the HV vs LV training MAB, participants were more accurate (higher likelihood of hits), which was more evident in negative target blocks relative to positive target blocks (odds ratio/OR:0.61, 95% CI = [0.38,0.98]; z = −2.045, p = 0.041). Participants exhibited stronger decreases in hits response times following the HV vs LV training MAB, but across all target blocks (B:-37 ms, 95% CI = [−56,-18]; t = −3.806, p < 0.001). Conclusions A novel cognitive training program aimed at boosting reward sensitivity may help improve patients’ processing of emotionally taxing stimuli. Targeting reward sensitivity is a critical component of improving clinical outcomes in depressed and anxious patients..