Cognitive bias tests measure variation in emotional appraisal and are validated methods to assess animals’ affective states. However, the link between social behaviours and cognitive bias has not yet been investigated. Bottlenose dolphins are a gregarious species for whom welfare research is increasing in importance, and thus are a good model to test such an association. We adapted a spatial location judgement bias test for eight captive bottlenose dolphins to investigate the link between cognitive bias and social behaviour, where we conducted behavioural observations outside of training sessions and did not experimentally induce an affective state. Subjects showed stable individual differences in cognitive biases across the three test days. Furthermore, dolphins showing more synchronous swimming, a fundamental affiliative behaviour, judged ambiguous cues significantly more optimistically. Our longer-term data showed cognitive bias and synchronous swimming frequency were significantly associated for up to two months preceding the test, but disappeared prior to that, suggesting that here cognitive bias differences were reflected by transitory affective states rather than longer-term traits. We hypothesise that the frequency of synchronous swimming may induce affective states and/or be induced by them; either way, it has strong potential as an indicator of affective state in this species and beyond.