Experiencing a social threat, such as social exclusion, is a painful event. In contrast to previous studies providing insight into the processing of a single short-termed threat, we exposed healthy individuals to the simultaneous onset of different social threats. This approach allowed us to track whether these threats are processed independently—or whether they interact in a common system. Using a virtual ball-throwing game (Cyberball), electrophysiological (event-related brain potentials, ERPs) and behavioral (self-reports) responses were collected. We assigned undergraduates to three experimental groups: single threat exclusion (n = 24), single threat loss of control (n = 26), and joint onset of both threats (dual-threat, n = 25). Self-reports indicated an increase in threats (i.e., in perceived exclusion and loss-of-control) in the latter group. The ERPs disentangled the neural responses to each threat: In the dual-threat group, the amplitudes of the P3 responses to exclusionary and intervention events were enhanced. This indicates that individuals are sensitized to each of the threats when the other threat is present simultaneously. Our findings support the theoretical notion of a common cognitive system responding to violations in subjective expectations.