The ability to make suitable risky decision is necessary for individuals’ survival and development. However, individuals vary in risk preference. The current study, adopting a decision task, aimed to explore the emotional sensitivity to missed opportunity and grey matter volume (GMV) of thalamus in high risk-takers by using voxel-based morphology analysis. In the task, eight boxes should be opened successively. Seven boxes contained coins and one box contained the devil to zero coins. Once stopped, collected and missed (missed opportunity) coins were presented. Participants were divided into high- and low risk-takers according to their risk-taking behaviour in the decision task. We found that high risk-takers showed stronger emotional sensitivity to missed opportunity and smaller GMV of thalamus than low risk-takers. In addition, the GMV of thalamus partially mediated the effect of emotional sensitivity to missed opportunity on risk-taking behaviour among all participants. Overall, the current study highlights the role of emotional sensitivity to missed opportunity and the GMV of thalamus in risk-taking behaviour, which helps us understand the possible reason for the variation among individuals in risk preference.