It has been proposed that the brain specializes in predicting future states of the environment. These predictions are probabilistic, and must be continuously updated on the basis of their mismatch with actual evidence. Although electrophysiological data disclose neural activity patterns in relation to predictive processes, little is known about how this activity supports prediction build-up through evidence accumulation. Here we addressed this gap. Participants were required to make moment-by-moment predictions about stimuli presented in sequences in which gathering evidence from previous items as they were presented was either possible or not. Two event-related potentials (ERP), a frontocentral P2 and a central P3, were sensitive to information accumulation throughout the sequence. Time-frequency (TF) analyses revealed that prediction build-up process also modulated centrally distributed theta activity, and that alpha power was suppressed in anticipation to fully predictable stimuli. Results are in agreement with the notion of predictions as probability distributions and highlight the ability of observers to extract those probabilities in a changing environment and to adjust their predictions consequently.