Guiding behavior requires the brain to make predictions about the future values of sensory inputs. Here, we show that efficient predictive computation starts at the earliest stages of the visual system. We compute how much information groups of retinal ganglion cells carry about the future state of their visual inputs and show that nearly every cell in the retina participates in a group of cells for which this predictive information is close to the physical limit set by the statistical structure of the inputs themselves. Groups of cells in the retina carry information about the future state of their own activity, and we show that this information can be compressed further and encoded by downstream predictor neurons that exhibit feature selectivity that would support predictive computations. Efficient representation of predictive information is a candidate principle that can be applied at each stage of neural computation. Significance Prediction is an essential part of life. However, are we really “good” at making predictions? More specifically, are pieces of our brain close to being optimal predictors? To assess the efficiency of prediction, we need to measure the information that neurons carry about the future of our sensory experiences. We show how to do this, at least in simplified contexts, and find that groups of neurons in the retina indeed are close to maximally efficient at separating predictive information from the nonpredictive background. Efficient coding of predictive information is a principle that can be applied at every stage of neural computation.