The ability to regulate the emotional response to threat is critical to healthy emotional function. However, the response to threat varies considerably from person-to-person. This variability may be partially explained by differences in emotional processes, such as locus of control and affective state, which vary across individuals. Although the basic neural circuitry that mediates the response to threat has been described, the impact individual differences in affective state and locus of control have on that response is not well characterized. Understanding how these factors influence the neural response to threat would provide new insight into processes that mediate emotional function. Therefore, the present study used a Pavlovian conditioning procedure to investigate the influence individual differences in locus of control, positive affect, and negative affect have on the brain and behavioral responses to predictable and unpredictable threats. Thirty-two healthy volunteers participated in a fear conditioning study in which predictable and unpredictable threats (i.e., unconditioned stimulus) were presented during functional magnetic resonance imaging (fMRI). Locus of control showed a linear relationship with learning-related ventromedial prefrontal cortex (PFC) activity such that the more external an individual's locus of control, the greater their differential response to predictable versus unpredictable threat. In addition, positive and negative affectivity showed a curvilinear relationship with dorsolateral PFC, dorsomedial PFC, and insula activity, such that those with high or low affectivity showed reduced regional activity compared to those with an intermediate level of affectivity. Further, activity within the PFC, as well as other regions including the amygdala, were linked with the peripheral emotional response as indexed by skin conductance and electromyography. The current findings demonstrate that the neural response to threat within brain regions that mediate the peripheral emotional response is modulated by an individual's affective state as well as their perceptions of an event's causality.