This review focuses on social play, a complex behaviour that is often difficult to categorize. Although play has been typically associated with positive emotional states, a thorough examination of the literature indicates that it may relate to different emotional systems, from attachment to conflict. Play oscillates between competition and cooperation, and includes a spectrum in between; thus, quantitatively identifying and demonstrating the emotional nature of play remains challenging. We considered examples from human and non-human animal studies and explored the emotional and neuro-hormonal systems involved in play. We assessed ethological data possibly indicating the emotional states underlying play, and we focused on the cooperative and competitive elements of play. We investigated the relationship between play and affiliative/aggressive behaviours, the communicative meaning of play signals (especially primate play faces), and the motor and possibly emotional contagion function of rapid motor mimicry during play. From all the literature on play, this review selects and combines studies in an innovative way to present the methods (e.g., play indices and social network analysis), tools (e.g., sequential analysis and facial coding software), and evidence indicative of the emotional states underlying play, which is much more complex than previously thought.