This paper aims to provide a theoretical framework for explaining the subjective character of pain experience in terms of what we will call ‘embodied predictive processing’. The predictive processing (PP) theory is a family of views that take perception, action, emotion and cognition to all work together in the service of prediction error minimisation. In this paper we propose an embodied perspective on the PP theory we call the ‘embodied predictive processing (EPP) theory. The EPP theory proposes to explain pain in terms of processes distributed across the whole body. The prediction error minimising system that generates pain experience comprises the immune system, the endocrine system, and the autonomic system in continuous causal interaction with pathways spread across the whole neural axis. We will argue that these systems function in a coordinated and coherent manner as a single complex adaptive system to maintain homeostasis. This system, which we refer to as the neural-endocrine-immune (NEI) system, maintains homeostasis through the process of prediction error minimisation. We go on to propose a view of the NEI ensemble as a multiscale nesting of Markov blankets that integrates the smallest scale of the cell to the largest scale of the embodied person in pain. We set out to show how the EPP theory can make sense of how pain experience could be neurobiologically constituted. We take it to be a constraint on the adequacy of a scientific explanation of subjectivity of pain experience that it makes it intelligible how pain can simultaneously be a local sensing of the body, and, at the same time, a more global, all-encompassing attitude towards the environment. Our aim in what follows is to show how the EPP theory can meet this constraint.