Cognitive control is assumed to be intricately linked to theta band activity. Situations that involve high uncertainty are said to trigger a need for cognitive control, which is reflected in greater theta activity. We examined whether theta band activity is similarly implicated in cognitive control processes when uncertainty is likely to trigger curiosity—a motivational state that makes people explore their environment. We investigated this in a sample of N = 41 healthy human adults by manipulating target-related uncertainty in a Posner cueing task. Time–frequency and beamforming approaches were applied to analyse the oscillatory dynamics and their sources. Effective connectivity analysis was done to examine how information transfer is modulated by uncertainty. Behavioural results showed greater sensitivity to task-irrelevant cues under high uncertainty. Importantly, there was no theta band activity in the posterior cingulate cortex under high compared to low uncertainty. Effective connectivity analyses also showed weaker connections between inferior parietal lobule and posterior parietal cortex under high uncertainty. Alpha band activity in the temporo-parietal junction under high uncertainty indicated an effect of uncertainty on early attentional filtering. These results indicate that high uncertainty is not always associated with increased theta band activity. We discuss possible explanations of this finding including that uncertainty may trigger different (meta) control policies which could be associated with distinct oscillatory dynamics. These findings have implications towards our understanding of ‘need for control’ and the situations that trigger it.