Background: Anhedonia is a cardinal feature of major depression and is hypothesized to be driven by low motivation, in particular blunted reward sensitivity. It has been suggested to be a marker that represents a genetic predisposition to this disorder. However, little is known about the mechanisms underlying this heightened risk in unaffected first-degree relatives of patients with major depression. We previously demonstrated abnormal reward biases in acutely depressed patients. The present study aimed to examine the development of reward bias in first-degree relatives of patients with major depression. Methods: Forty-seven first-degree relatives of patients with major depression (26 females, age 18–52) and 60 healthy controls with no family history of depression (34 females, age 21–48) were recruited. A probabilistically rewarded difficult visual discrimination task, in which participants were instructed about the contingencies, was used to assess blunted reward sensitivity. A response bias towards the more frequently rewarded stimulus (termed “reward bias”) was the primary outcome variable in this study. Participants also completed self-reported measures of anhedonia and depressive symptoms. Results: Compared with the control group, relatives of patients with major depression with sub-clinical depressive symptoms displayed a blunted reward bias. Relatives without symptoms displayed largely intact motivational processing on both self-report and experimental measures. The degree of anhedonia was associated with attenuated reward bias in first-degree relatives of patients with major depression, especially in those with sub-clinical symptoms. Limitations: The study did not include a depressed patient group, which restricted our ability to interpret the observed group differences. Conclusions: Blunted reward sensitivity may be largely manifested in a subgroup of relatives with high levels of depressive symptoms.