Affective states, such as emotions, are presumably widespread across the animal kingdom because of the adaptive advantages they are supposed to confer. However, the study of the affective states of animals has thus far been largely restricted to enhancing the welfare of animals managed by humans in non‐natural contexts. Given the diversity of wild animals and the variable conditions they can experience, extending studies on animal affective states to the natural conditions that most animals experience will allow us to broaden and deepen our general understanding of animal welfare. Yet, this same diversity makes examining animal welfare in the wild highly challenging. There is therefore a need for unifying theoretical frameworks and methodological approaches that can guide researchers keen to engage in this promising research area. The aim of this article is to help advance this important research area by highlighting the central relationship between physiology and animal welfare and rectify its apparent oversight, as revealed by the current scientific literature on wild animals. Moreover, this article emphasises the advantages of including physiological markers to assess animal welfare in the wild (e.g. objectivity, comparability, condition range, temporality), as well as their concomitant limitations (e.g. only access to peripheral physiological markers with complex relationships with affective states). Best‐practice recommendations (e.g. replication and multifactorial approaches) are also provided to allow physiological markers to be used most effectively and appropriately when assessing the welfare of animals in their natural habitat. This review seeks to provide the foundation for a new and distinct research area with a vast theoretical and applied potential: wild animal welfare physiology.