It has been proposed that social anxiety disorder (SAD) is associated with automatic information processing biases resulting in hypersensitivity to signals of social threat such as negative facial expressions. However, the nature and extent of automatic processes in SAD on the behavioral and neural level is not entirely clear yet. The present review summarizes neuroscientific findings on automatic processing of facial threat but also other disorder-related stimuli such as emotional prosody or negative words in SAD. We review initial evidence for automatic activation of the amygdala, insula, and sensory cortices as well as for automatic early electrophysiological components. However, findings vary depending on tasks, stimuli, and neuroscientific methods. Only few studies set out to examine automatic neural processes directly and systematic attempts are as yet lacking. We suggest that future studies should: (1) use different stimulus modalities, (2) examine different emotional expressions, (3) compare findings in SAD with other anxiety disorders, (4) use more sophisticated experimental designs to investigate features of automaticity systematically, and (5) combine different neuroscientific methods (such as functional neuroimaging and electrophysiology). Finally, the understanding of neural automatic processes could also provide hints for therapeutic approaches.