The saying "A dog (Canis familiaris) is man's best friend" and the term Jinba ittai (describing the connection between a horse ［Equus caballus］ and a human) express the affinitive interactions between humans and these animals. In this paper regarding psychology of learning, these interspecies interactions were considered to indicate that human behaviors change behaviors of these animals and vice versa. Such mutual influence is possible because humans and these animals have innate cognitive systems that allow them to process each other's behaviors, and because humans and these animals learn each other's behaviors. Thus, studies that investigated these cognitive systems and such learning were reviewed. Next, we looked at studies that examined these interspecies interactions during rearing or training. Finally, the reason why humans not only feel that dogs and horses can interact with them but also experience affinitive relationships with these animals was discussed. The innate and learned factors involved in the construction of these relationships were considered.