Temporal contiguity between two stimuli is insufficient for the establishment of a predictive relation between those stimuli. Rather, learning about predictive relations is influenced by a prediction error mechanism: the discrepancy between actual and expected outcomes. Although the neural substrates of contiguous stimuli presentation have been the focus of research for decades, relatively little empirical evidence exists with regard to the neural mechanisms of prediction error. Recent work has implicated the neurotransmitter dopamine in regulation of predictive learning. If dopamine modulates prediction error then it should do so despite the nature (appetitive or aversive) of the biological stimuli that serve to drive learning. The exact role of dopamine in appetitive and aversive predictive learning, however, remains the focus of continuous debate. This review focuses on the behavioural, neuropharmacological and electrophysiological evidence implicating dopamine in prediction error in appetitive and aversive predictive learning. In addition, recent work in the area of fear conditioning implicating other neurochemical substrates, namely opioids, in the process of prediction error is discussed. Finally, some predictions are made with regard to the neurochemical circuitry involved in modulating learning and behaviour based on prediction error.