Behavioral inhibition (BI) is a temperamental tendency to avoid or withdraw from novel social and nonsocial situations, and has been shown to predispose individuals to anxiety disorders. However, adequate means to assess individual differences in avoidance learning in humans are presently limited. Here, we tested whether individuals with high self-reported BI show faster associative learning on a purely cognitive task and whether such inhibited individuals are more prone to avoid aversive outcomes. In Experiment 1, we tested 74 healthy undergraduate students (mean age 19.5 years; 55.4% female) on a computer-based probabilistic classification task, where participants were asked to classify four distinct visual stimuli into two categories. Two stimuli were associated with reward (point gain) and two were associated with punishment (point loss). In Experiment 2, 79 participants from the same population (mean age 19.8 years; 62% female) were tested on a novel modification of the same task, where they also had the option to opt out of responding on each trial, thus avoiding any chance of being punished (or rewarded) on that trial. Results show that inhibited participants demonstrated better associative learning in Experiment 1, while exhibiting a greater tendency to opt out in Experiment 2 (repeated-measures analysis of variance, main effects of BI, both p < 0.05). These results indicate that the facilitated classically conditioned learning previously observed in inhibited individuals can be extended to a cognitive task, and also highlight a specific preference in inhibited individuals for withdrawal ("opting out") as a response strategy, when multiple strategies are available to avoid punishment.