Recent work in cognitive and computational neuroscience depicts the human cortex as a multi-level prediction engine. This ‘predictive processing’ framework shows great promise as a means of both understanding and integrating the core information processing strategies underlying perception, reasoning, and action. But how, if at all, do emotions and sub-cortical contributions fit into this emerging picture? The fit, we shall argue, is both profound and potentially transformative. In the picture we develop, online cognitive function cannot be assigned to either the cortical or the sub-cortical component, but instead emerges from their tight co-ordination. This tight co-ordination involves processes of continuous reciprocal causation that weave together bodily information and ‘top-down’ predictions, generating a unified sense of what’s out there and why it matters. The upshot is a more truly ‘embodied’ vision of the predictive brain in action.