Social anxiety is characterized by an excessive fear of being embarrassed in social interactions or social performance situations. Emotional support can help to decrease or diminish social distress. Such support may play an important role at different points of social interaction. However, it is unclear how the beneficial effects of social support are represented in the brains of socially anxious individuals. To explore this, we used the same paradigm previously used to examine the effects of emotional support on social pain caused by exclusion. Undergraduates (n = 46) showing a wide range of social anxiety scores underwent functional magnetic resonance imaging (fMRI) while participating in a Cyberball game. Participants were initially included and later excluded from the game. In the latter half of the session in which participants were excluded, they were provided with supportive messages. In line with our previous work, we found that social exclusion led to increased anterior cingulate cortex (ACC) activity, whereas emotional support led to increased left dorsolateral prefrontal cortex (DLPFC) activity. Despite validation of the paradigm, social anxiety was not associated with increased ACC activity during social exclusion, or during perceived emotional support. Instead, fear of negative evaluation as assessed by the Brief Fear of Negative Evaluation (BFNE) scale showed positive associations with left DLPFC activation while receiving emotional support, compared to while being socially excluded. The more socially anxious an individual was, the greater was the left DLPFC activity increased during receipt of messages. This suggests that highly socially anxious people still have the ability to perceive social support, but that they are nevertheless susceptible to negative evaluation by others.