40 Hz auditory steady-state responses (ASSR) can be evoked by brief auditory clicks delivered at 40 Hz. While the neuropharmacology behind the generation of ASSR is well examined, the link between ASSR and microstructural properties of the brain is unclear. Further, whether the 40 Hz ASSR can be manipulated through processes involving top-down control, such as prediction, is currently unknown. We recorded EEG in 50 neurotypical participants while they engaged in a 40 Hz auditory steady-state paradigm. We manipulated the predictability of the stimuli to test the modulatory effect of prediction on 40 Hz steady-state responses. Further, we acquired T1w and T2w structural MRI on the same individuals and used the T1/T2 ratio as a proxy to determine myelination content in gray matter. The phase locking of the 40 Hz ASSR was indeed modulated by prediction, suggesting that prediction violation directly affects phase locking to the 40 Hz ASSR. We found that the prediction violation of the phase locking at 40 Hz (gamma) was associated with the degree of gray matter myelination in the right cerebellum, such that greater myelin led to less desynchronization induced by prediction violations. We demonstrate that prediction violations modulate steady-state activity at 40 Hz and suggest that the efficiency of this process is promoted by greater cerebellar myelin. Our findings provide a structural-functional relationship for myelin and phase locking of auditory oscillatory activity. These results introduce a framework for investigating the interaction of predictive processes and ASSR in disorders where these processes are impaired, such as in psychosis.