Prefrontal cortex is crucial for learning and decision-making. Classic reinforcement learning (RL) theories centre on learning the expectation of potential rewarding outcomes and explain a wealth of neural data in prefrontal cortex. Distributional RL, on the other hand, learns the full distribution of rewarding outcomes and better explains dopamine responses. Here we show distributional RL also better explains prefrontal cortical responses, suggesting it is a ubiquitous mechanism for reward-guided learning.