<p>Despite their groundbreaking performance, autonomous agents can misbehave when training and environmental conditions become inconsistent, with minor mismatches leading to undesirable behaviors or even catastrophic failures. Robustness towards these training-environment ambiguities is a core requirement for intelligent agents and its fulfillment is a long-standing challenge towards their real-world deployments. Here, we introduce a Distributionally Robust Free Energy model (DR-FREE) that instills this core property by design. Combining a robust extension of the free energy principle with a resolution engine, DR-FREE wires robustness into the agent decision-making mechanisms. Across benchmark experiments, DR-FREE enables the agents to complete the task even when, in contrast, state-of-the-art models fail. This milestone may inspire both deployments in multi-agent settings and, at a perhaps deeper level, the quest for an explanation of how natural agents – with little or no training – survive in capricious environments.</p>