Individual housing of dairy calves is common farm practice, but has negative effects on calf welfare. A compromise between practice and welfare may be housing calves in pairs. We compared learning performances and affective states as assessed in a judgement bias task of individually housed and pair-housed calves. Twenty-two calves from each housing treatment were trained on a spatial Go/No-go task with active trial initiation to discriminate between the location of a teat-bucket signalling either reward (positive location) or non-reward (negative location). We compared the number of trials to learn the operant task (OT) for the trial initiation and to finish the subsequent discrimination task (DT). Ten pair-housed and ten individually housed calves were then tested for their responses to ambiguous stimuli positioned in-between the positive and negative locations. Housing did not affect learning speed (OT: F1,35 = 0.39, P = 0.54; DT: F1,19 = 0.15, P = 0.70), but pair-housed calves responded more positively to ambiguous cues than individually housed calves (χ21 = 6.79, P = 0.009), indicating more positive affective states. This is the first study to demonstrate that pair housing improves the affective aspect of calf welfare when compared to individual housing.