Researchers also found that when these setbacks occur, the level of control people perceive may even determine which of two distinct parts of the brain will handle the crisis.
"Think of the student who failed an exam," said Jamil Bhanji, a postdoctoral fellow at Rutgers University and one of the study's co-authors.
"They might feel they wouldn't have failed if they had studied harder, studied differently - something under their control," Bhanji said.
Functional magnetic resonance imaging (fMRI) used in the study showed activity in a part of the brain called the ventral striatum - which has been shown to guide goals based on prior experiences.
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A different student might have failed the same test, but believes it happened because the questions were unfair or the professor was mean, things that he could not control.
The negative emotions produced by this uncontrollable setback may cause the student to drop the course.
In cases like this, fMRI showed that activity in the ventromedial prefrontal cortex (vmPFC), a part of the brain that regulates emotions in more flexible ways, is necessary to promote persistence.
"You may deliver the news to the student - no sugar coating, here's your setback," said Delgado.
"But then you make an offer - 'would you like to review those study habits with me? I'd be happy to do it.' This puts the student in a situation where they may experience control and be more likely to improve the next time," Delgado said.
Bhanji said lessons from the study may even guide certain people toward giving up too soon on careers where they could do well.
"We wonder why there are fewer women and minorities in the sciences, for example. Maybe in cases like that it's fair to say there are things we can do to promote reactions to negative feedback that encourage persistence," Bhanji said.
The study is published in the journal Neuron.