We review the predictive processing theory’s take on goals and affect, to shed new light on mental distress and how it develops into psychopathology such as in affective and motivational disorders. This analysis recovers many of the classical factors known to be important in those disorders, like uncertainty and control, but integrates them in a mechanistic model of adaptive and maladaptive cognition and behavior. We derive implications for treatment that have so far remained underexposed in existing predictive processing accounts of mental disorder, specifically with regard to the model-dependent construction of value, the importance of model validation (evidence), and the introduction and learning of new, adaptive beliefs that relieve suffering.