We frequently associate ourselves with certain affective attributes (e.g., I am joyful, I am lazy, etc.) and not others. However, little is understood about how such self-associations come about. Interoceptive predictive theories propose that a sense of self, especially in an affective context, results from the brain making inferences about internal bodily states. A key prediction of these theories is that for an affective attribute to be self-associated, it would depend not only on the stimulus, but also non-stimulus-specific fluctuations in one’s bodily state; a hypothesis not yet tested. We measured EEG response synchronised to the cardiac cycle – a common way to measure interoceptive neural processing – prior to the presentation of pleasant and unpleasant adjectives to participants. Participants responded if the adjectives were self-descriptive or not. We found that cardiac-pulse-synchronised neural activity prior to the presentation of unpleasant adjectives predicted whether participants subsequently associated that adjective to themselves. This effect was observed over midfrontal scalp locations, commonly observed in interoceptive neural processing. No such effect was observed for pleasant adjectives, or by randomly shuffling the cardiac peak times to account for non-interoceptive neural differences. Our results confirm a key prediction of interoceptive predictive coding theories – that bodily signals are not just modulated in response to self-related and affective arousal, but that a subjective sense of affective self arises due to neural processing of bodily signals. Our results have important implications for many neuropsychiatric disorders that involve altered self-referential processing of unpleasant stimuli.