There is limited knowledge about the impact of task load on experts’ integration of contextual priors and visual information during dynamic and rapidly evolving anticipation tasks. We examined how experts integrate contextual priors––specifically, prior information regarding an opponent's action tendencies––with visual information such as movement kinematics, during a soccer-specific anticipation task. Furthermore, we combined psychophysiological measures and retrospective self-reports to gain insight into the cognitive load associated with this integration. Players were required to predict the action of an oncoming opponent, with and without the explicit provision of contextual priors, under two different task loads. In addition to anticipation performance, we compared continuous electroencephalography (EEG) and self-reports of cognitive load across conditions. Our data provide tentative evidence that increased task load may impair performance by disrupting the integration of contextual priors and visual information. EEG data suggest that cognitive load may increase when contextual priors are explicitly provided, whereas self-report data suggested a decrease in cognitive load. The findings provide insight into the processing demands associated with integration of contextual priors and visual information during dynamic anticipation tasks, and have implications for the utility of priors under cognitively demanding conditions. Furthermore, our findings add to the existing literature, suggesting that continuous EEG may be a more valid measure than retrospective self-reports for in-task assessment of cognitive load. © 2020 The Authors. Psychophysiology published by Wiley Periodicals LLC on behalf of Society for Psychophysiological Research