Within the framework of statistical learning, many behavioural studies investigated the processing of unpredicted events. However, surprisingly few neurophysiological studies are available on this topic, and no statistical learning experiment has investigated electroencephalographic (EEG) correlates of processing events with different transition probabilities. We carried out an EEG study with a novel variant of the established statistical learning paradigm. Timbres were presented in isochronous sequences of triplets. The first two sounds of all triplets were equiprobable, while the third sound occurred with either low (10%), intermediate (30%), or high (60%) probability. Thus, the occurrence probability of the third item of each triplet (given the first two items) was varied. Compared to high-probability triplet endings, endings with low and intermediate probability elicited an early anterior negativity that had an onset around 100 ms and was maximal at around 180 ms. This effect was larger for events with low than for events with intermediate probability. Our results reveal that, when predictions are based on statistical learning, events that do not match a prediction evoke an early anterior negativity, with the amplitude of this mismatch response being inversely related to the probability of such events. Thus, we report a statistical mismatch negativity (sMMN) that reflects statistical learning of transitional probability distributions that go beyond auditory sensory memory capabilities.