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This article considers the evolution of brain architectures for predictive processing. We argue that brain mechanisms for predictive perception and action are not late evolutionary additions of advanced creatures like us. Rather, they emerged gradually from simpler predictive loops (e.g. autonomic and motor reflexes) that were a legacy from our earlier evolutionary ancestors--and were key to solving their fundamental problems of adaptive regulation. We characterize simpler-to-more-complex brains formally, in terms of generative models that include predictive loops of increasing hierarchical breadth and depth. These may start from a simple homeostatic motif and be elaborated during evolution in four main ways: these include the multimodal expansion of predictive control into an allostatic loop; its duplication to form multiple sensorimotor loops that expand an animal's behavioural repertoire; and the gradual endowment of generative models with hierarchical depth (to deal with aspects of the world that unfold at different spatial scales) and temporal depth (to select plans in a future-oriented manner). In turn, these elaborations underwrite the solution to biological regulation problems faced by increasingly sophisticated animals. Our proposal aligns neuroscientific theorising--about predictive processing--with evolutionary and comparative data on brain architectures in different animal species. [ABSTRACT FROM AUTHOR]