Play has been identified as a potential welfare indicator. But animal play is variable within and between species, with its mechanisms and functions not fully understood. Its relationship to animal welfare is therefore complex. We review evidence on four aspects of the play-welfare relationship: first, that play indicates the absence of fitness threats; second, that play acts as a reward and flags up the presence of opioid-mediated pleasurable emotional experiences; third, that play brings immediate psychological benefits and long-term benefits for fitness and health; and finally, that play is socially contagious and therefore capable of spreading good welfare in groups. Better understanding is needed of the functions and mechanisms of play, and the species-specific play patterns of captive animals, in order to be able to explain what an animal’s play behaviour tells us about its welfare state.