To obtain more of a particular uncertain reward, animals must learn to actively overcome the lack of reward and adjust behaviour to obtain it again. The neural mechanisms underlying such coping with reward omission remain unclear. Here we developed a task in rats to monitor active behavioural switch toward the next reward after no-reward. We discovered that some dopamine neurons in the ventral tegmental area exhibited increased responses to unexpected reward omission and decreased responses to unexpected reward, following the opposite responses of the well-known dopamine neurons that signal reward prediction error (RPE). The dopamine increase reflected in the nucleus accumbens correlated with behavioural adjustment to actively overcome unexpected no-reward. We propose that these responses signal error to actively cope with lack of expected reward. The dopamine error signal thus cooperates with the RPE signal, enabling adaptive and robust pursuit of uncertain reward to ultimately obtain more reward.