In electroencephalography (EEG), frontal alpha asymmetry is asymmetrical activation of frontal cerebral hemispheres within frequency range of 8–13 Hz. It is considered to reflect an individual’s behavioral responsiveness - whether to approach or withdraw from stimuli. In the field of frontal alpha asymmetry research, naturalistic research settings are rare. Due to deficits in emotion regulation in depression, differences in emotion responsiveness between depressed and non-depressed individuals are relevant. This study aimed to investigate differences in frontal alpha asymmetry between dysphoric (N = 14, Beck’s Depression Scale score > 13) and control (N = 12) participants while watching amusing, sad and frightening movie clips. During all movie categories, frontal alpha activation was greater on the left than right hemisphere, reflecting withdrawal tendency. However, the relative difference in alpha activation between frontal hemispheres was smaller during sad clips than during amusing and frightening ones. To account for habituation or accumulation of emotional responses, frontal alpha asymmetry of the first and last clips in each movie category were compared. Dysphoric participants showed less relatively greater left frontal alpha activation during the last movie clips than during the first ones. When analysing the movie categories separately, they exhibited this pattern only during amusing movie clips, not during frightening and sad ones. No synchronization of alpha asymmetry between participants was found. These findings might reflect the negative cognitive bias and diminished reactivity to emotional stimuli associated with depression.