Flexible behavior requires the creation, updating, and expression of memories to depend on context. While the neural underpinnings of each of these processes have been intensively studied, recent advances in computational modeling revealed a key challenge in context-dependent learning that had been largely ignored previously: Under naturalistic conditions, context is typically uncertain, necessitating contextual inference. We review a theoretical approach to formalizing context-dependent learning in the face of contextual uncertainty and the core computations it requires. We show how this approach begins to organize a large body of disparate experimental observations, from multiple levels of brain organization (including circuits, systems, and behavior) and multiple brain regions (most prominently the prefrontal cortex, the hippocampus, and motor cortices), into a coherent framework. We argue that contextual inference may also be key to understanding continual learning in the brain. This theory-driven perspective places contextual inference as a core component of learning.