According to the Bayesian brain hypothesis, the brain can be viewed as a predictive machine, such that predictions (or expectations) affect how sensory inputs are integrated. This means that in many cases, affective responses may depend more on the subject’s perception of the experience (driven by expectations built on past experiences) rather than on the situation itself. Little research to date has applied this concept to affective states in animals. The aim of this paper is to explore how the Bayesian brain hypothesis can be used to understand the affective experiences of animals and to develop a basis for novel predictions regarding animal welfare. Drawing from the literature illustrating how predictive processes are important to human well-being, and are often impaired in affective disorders, we explore whether the Bayesian brain theories may help understanding animals’ affective responses and whether deficits in predictive processes may lead to previously unconsidered welfare consequences. We conclude that considering animals as predictive entities can improve our understanding of their affective responses, with implications for basic research and for how to provide animals a better life.