I this the following story offers evidence that animals can grieve for the deaths of their loved ones.
I've copied the article below, but I've also provided a link to the original article.
From Itchmo: News for Dogs and Cats
Oscar, an 18-month-old Lancashire Heeler, missed his best friend so much that he dug up the late cat’s grave and brought the body back into the house to be reunited with him.
The dog saw his owner dig a grave in the garden for Arthur, the 17-year-old family cat, and put him in the hole.
When Oscar’s owners woke up the next morning, they found Oscar curled up next to Arthur’s body in his bed.
Oscar and Arthur were the best of friends and were inseparable, and Arthur, who was a larger cat, even used to help Oscar onto the sofa.
Oscar’s owners said, “He had managed to climb out through the cat flap in the night, obviously with the intent to get Arthur back. Bearing in mind that Arthur was a huge cat, Oscar must have used all the strength he could muster. Then he pulled him into the basket and went to sleep next to him. Arthur’s coat was gleaming white. Oscar had obviously licked him clean. It must have taken him nearly all night.”
News for cats and dogs - Dog Misses Feline Best Friend, Retrieves Cat From Grave