Unsolicited third-party affiliation occurs when victims of aggression receive a spontaneous affinitive contact from a bystander. Consolation is a specific type of unsolicited third-party affiliation showing two key components: 1) it alleviates distress in the victims and 2) is preferentially directed towards friends. Consolation was thought to be present only in humans, chimpanzees, and bonobos linked to their higher cognitive and empathic abilities. Previous investigations in monkeys found unsolicited third-party affiliation in only two species with no evidence of consolation. In the research presented here we set out to test a number of hypotheses concerning third-party affiliation in Macaca fuscata and M. tonkeana, two species that differ remarkably for social style. M. fuscata is despotic, while M. tonkeana is one of the most tolerant species of macaques. We found no evidence of unsolicited third-party affiliation in M. fuscata, but it was present in M. tonkeana. In this species we found that unsolicited third-party affiliation reduced anxiety (measured by scratching) in the victims and was directed towards friends and especially towards females who experienced higher levels of anxiety compared to males. Third-party affiliation also occurred more frequently in the absence of reconciliation. All the key features used to recognize consolation in humans and great apes are present in M. tonkeana making it difficult not to conclude that consolation exists in this species. Since consolation is most often considered to be driven by empathy, our results suggest that Tonkean macaques are capable of empathetically reacting to the victim’s state of anxiety. Our results support the Social Constraints Hypothesis showing that the degree of tolerance is a key factor in the expression of consolation. Investigating behavioral patterns driven by even the most basic forms of empathy requires the choice of an appropriate species and Macaca tonkeana is a good model to investigate the full phylogenetic range, evolutionary depth, and origin of empathy in primates.