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Abstract Phenotypic plasticity is a strategy by which animals alter behaviour, morphology and/or physiology in response to cues of current conditions to cope with environmental heterogeneity.If environmental change is impending and cues reliably predict future conditions, animals can also respond in anticipation of these changes (i.e. anticipatory plasticity) if they possess the mechanistic architecture necessary to do so. This phenomenon has been documented across the tree of life, but how animals integrate cues of future conditions and mount anticipatory responses remains largely ambiguous.Here, we synthesize theoretical principles from sensory biology and animal communication with recent advances in physiological ecology to identify candidate physiological mechanisms underpinning anticipatory plasticity in animal systems.We discuss how socio‐ecological rhythms, cue perception and interactions between the epigenome, neuroendocrine system and gut microbiota can contribute to the maintenance and evolution of anticipatory plasticity, including anticipatory reproduction.We shed light on the proximate and ultimate mechanisms that facilitate the evolution and maintenance of anticipatory plasticity in the face of environmental heterogeneity, contributing to a broader understanding of how animals may respond to rapid global change as environmental cues become unreliable and conditions unpredictable. Read the freePlain Language Summaryfor this article on the Journal blog.