Risk taking is a non-negligible component in decision-making. Previous behavioral studies have demonstrated that female's risk decisions vary along with their menstrual cycle phases. However, little is known how females’ neural processes of risk stimuli change in different menstrual cycle phases. To address this, the present study adopted a sequential economic risk-taking task and EEG technique. Thirty eligible female participants completed the task twice with EEG recordings, once in the late follicular phase and once in the midluteal phase, separately. We found that the risk stimuli induced an evident frontal N1 in the early time window of 90−180 ms. The results on N1 showed no significant difference between two phases for low- and medium-risk stimuli; whereas, for high-risk stimuli, females in midluteal phase exhibited a significantly larger N1 than that in late follicular phase. Further, by exploiting time-frequency transformation, we observed a pronounced low alpha (∼8 Hz) activity in frontal area from stimuli onset to 175 ms. The results indicated that, only for high-risk stimuli, the alpha power was significantly greater in midluteal phase than that in late follicular phase. Our neural results demonstrated a stronger early neural response to high-risk stimuli of females in midluteal phase, which suggests women are more sensitive to high risk in midluteal than in late follicular phase.