This article proposes the Bayesian surprise as the main methodology that drives the cognitive radar to estimate a target’s future state (i.e., velocity, distance) from noisy measurements and execute a decision to minimize the estimation error over time. The research aims to demonstrate whether the cognitive radar as an autonomous system can modify its internal model (i.e., waveform parameters) to gain consecutive informative measurements based on the Bayesian surprise. By assuming that the radar measurements are constructed from linear Gaussian state-space models, the paper applies Kalman filtering to perform state estimation for a simple vehicle-following scenario. According to the filter’s estimate, the sensor measures the contribution of prospective waveforms—which are available from the sensor profile library—to state estimation and selects the one that maximizes the expectation of Bayesian surprise. Numerous experiments examine the estimation performance of the proposed cognitive radar for single-target tracking in practical highway and urban driving environments. The robustness of the proposed method is compared to the state-of-the-art for various error measures. Results indicate that the Bayesian surprise outperforms its competitors with respect to the mean square relative error when one-step and multiple-step planning is considered.