The somatic marker hypothesis proposes that humans recall previously experienced physiological responses to aid decision-making under uncertainty. However, little is known about the mechanisms used by non-human animals to integrate risk perception with predicted gains and losses. We monitored the behaviour and physiology of chickens when the choice between a high-gain (large food quantity), high-risk (1 in 4 probability of receiving an air-puff) option (HGRAP) or a low-gain (small food quantity), no-risk (of an air-puff) (LGNAP) option. We assessed when arousal increased by considering different stages of the decision-making process (baseline, viewing, anticipation, reward periods) and investigated whether autonomic responses influenced choice outcome both immediately and in the subsequent trial. Chickens were faster to choose and their heart-rate significantly increased between the viewing and anticipation (post-decision, pre-outcome) periods when selecting the HGRAP option. This suggests that they responded physiologically to the impending risk. Additionally, arousal was greater following a HGRAP choice that resulted in an air-puff, but this did not deter chickens from subsequently choosing HGRAP. In contrast to human studies, we did not find evidence that somatic markers were activated during the viewing period, suggesting that arousal is not a good measure of avoidance in non-human animals.