Anhedonia, the loss of pleasure or interest in previously rewarding stimuli, is a core feature of major depression. While theorists have argued that anhedonia reflects a reduced capacity to experience pleasure, evidence is mixed as to whether anhedonia is caused by a reduction in hedonic capacity. An alternative explanation is that anhedonia is due to the inability to sustain positive affect across time. Using positive images, we used an emotion regulation task to test whether individuals with depression are unable to sustain activation in neural circuits underlying positive affect and reward. While up-regulating positive affect, depressed individuals failed to sustain nucleus accumbens activity over time compared with controls. This decreased capacity was related to individual differences in self-reported positive affect. Connectivity analyses further implicated the fronto-striatal network in anhedonia. These findings support the hypothesis that anhedonia in depressed patients reflects the inability to sustain engagement of structures involved in positive affect and reward.