Engagement with positive reinforcement training is a non-invasive, easily recorded, and valid indicator of welfare in captive bottlenose dolphins. However, despite the ubiquitousness of training programs in zoo-housed mammals in accredited zoos, this metric has yet to be explored as a welfare indicator in other species. Thus, this pilot study aimed to determine whether engagement with training is a reliable and valid welfare indicator in zoo-housed felids. Using Likert scales, two observers scored the Willingness to Participate, Approach to the trainer, and Focus of three felids housed at Attica Zoological Park (Greece) during 34 training sessions. After each session, behavioral richness and the frequency of expression of behaviors indicative of positive and negative affective states were derived from 2 h of instantaneous focal behavioral observations. Intraclass correlations showed excellent agreement in the two observers' scores for Willingness to Participate, Approach, and Focus during the sessions (all ICC > 0.9). The three facets of engagement with training were strongly interrelated (Spearman correlations, all r > 0.5, all p < 0.01). Further, Willingness to Participate and Focus were significantly positively associated with the frequency of expression of behaviors indicative of a positive affective state (GLMM: p < 0.001) and behavioral richness (GLMM: p = 0.013), respectively. The strength of those associations in our small sample suggests that further research in a larger sample of felids and institutions is warranted to investigate engagement with training as a promising, valid, and reliable positive welfare indicator in zoo-housed felids.