Major depressive disorder (MDD) is characterized by impaired processing of negative information, possibly due to dysfunction in both, the bottom-up emotional network and top-down modulatory network. By acquiring functional magnetic resonance imaging (fMRI) on a pain-anticipation task, we tested the hypothesis that individuals with MDD would show increased negative biasing that may be associated with reduced frontal connectivity. Thirty-one (15 females) unmedicated young adults with current MDD and 22 (11 females) healthy subjects with no history of MDD were recruited. Groups did not differ significantly in age, race, level of education, marital status or gender distribution. fMRI data were collected during an event-related pain-anticipation paradigm, during which subjects were cued to anticipate painful heat stimuli of high or low intensity. All temperature stimuli were applied to each subjects left forearm. We found that relative to healthy comparison subjects, participants with MDD showed significantly stronger responses to high versus low pain anticipation within right ventral anterior insula (AI), but overlapping response within right dorsal AI, which correlated positively with the depression symptoms severity in the MDD group. Functional connectivity analyses showed increased functional connectivity between dorsal insula and posterior thalamus and decreased functional connectivity between dorsal insula and the right inferior frontal gyrus in the MDD compared with the non-MDD group. Our results demonstrate that unmedicated individuals with current MDD compared with healthy never-depressed subjects show both differential and overlapping response within AI during anticipation of pain. Furthermore, the overlapping insular response is less regulated by frontal brain systems and is more subservient to affective processing regions in the posterior thalamus in MDD. These results support and provide functional validation of the co-occurring enhanced bottom-up and attenuated top-down processing of salient, unpleasant emotional information in MDD.