Prior expectations shape neural responses in sensory regions of the brain, consistent with a Bayesian predictive coding account of perception. Yet, it remains unclear whether such a mechanism is already functional during early stages of development. To address this issue, we study how the infant brain responds to prediction violations using a cross-modal cueing paradigm. We record electroencephalographic responses to expected and unexpected visual events preceded by auditory cues in 12-month-old infants. We find an increased response for unexpected events. However, this effect of prediction error is only observed during late processing stages associated with conscious access mechanisms. In contrast, early perceptual components reveal an amplification of neural responses for predicted relative to surprising events, suggesting that selective attention enhances perceptual processing for expected events. Taken together, these results demonstrate that cross-modal statistical regularities are used to generate predictions that differentially influence early and late neural responses in infants.