Communicating emotions to conspecifics (emotion expression) allows the regulation of social interactions (e.g. approach and avoidance). Moreover, when emotions are transmitted from one individual to the next, leading to state matching (emotional contagion), information transfer and coordination between group members are facilitated. Despite the high potential for vocalizations to influence the affective state of surrounding individuals, vocal contagion of emotions has been largely unexplored in non-human animals. In this paper, I review the evidence for discrimination of vocal expression of emotions, which is a necessary step for emotional contagion to occur. I then describe possible proximate mechanisms underlying vocal contagion of emotions, propose criteria to assess this phenomenon and review the existing evidence. The literature so far shows that non-human animals are able to discriminate and be affected by conspecific and also potentially heterospecific (e.g. human) vocal expression of emotions. Since humans heavily rely on vocalizations to communicate (speech), I suggest that studying vocal contagion of emotions in non-human animals can lead to a better understanding of the evolution of emotional contagion and empathy.