There is no consensus regarding the functions of play. As play behavior is a characteristic of young stages of development, it has been suggested that the higher prevalence of adult play observed in domestic animals could be the result of their “neotenic retardation.” Functional hypotheses have dealt with the long term benefits, such as “rehearsal,” “motor training” for future adult competencies or “training for the unexpected.” However, there is little consistent experimental evidence favoring a particular hypothesis. The present study aimed to test the functional significance of adult play as a potential reliable indicator of good welfare, a by-product of domestication or a tool for social cohesion. Observations of both a domestic species (the horse) and wild/captive animals (cercopithecids) confirm the literature data that show the greater prevalence of adult play in the domestic/captive situations. This convergence between a domestic and a wild species argue against the idea that adult play may be a mere product of domestication. Moreover, animals living in naturalistic situations had the same low level of adult play as observed in wild animals suggesting that captive/domestic animals do not play only because they are stress free or well fed. Play is not a reliable indicator of welfare: Horses and adult macaques that played the most were also those that exhibited the greatest signals of poor welfare as stereotypic behaviors. Furthermore, adult play was more frequent at times of social disturbances and instability. Adult play is a sign showing that the adult organism needs to evacuate stress.