Counterfactuals are alternative outcomes to past events. Curiosity for the counterfactual acts as an important driver of learning under uncertainty and helps to improve on past behaviors. This experiment observed counterfactual information collection rates during times of uncertainty and also assessed the willingness of nonhuman primates to gain information when there was a cost or benefit associated. Humans (Experiment 1), capuchins, and rhesus macaques (Experiments 1 and 2) were presented with a three-choice gambling task that consisted of hidden and visible reward values. When choosing visible reward values, participants could view the counterfactual information associated with the gamble. Only humans collected counterfactual information at levels different than chance. Humans also collected counterfactual information significantly more than capuchins. When monkeys saw trials in which the counterfactual information had a greater or lesser reward value compared to the noninformative option, the difference between the reward values was the sole predictor of choice.