We propose that individuals incorrectly interpret their success in predicting an event as an indication that they understand the event's underlying mechanism or process. We term this illusion prediction-comprehension bias (PCB) and conceptually locate it within the frameworks of reverse inference logic. In a set of four experiments (N = 552), we demonstrate this bias and identify three psychological factors that produce it: The feedback participants receive about their prediction accuracy (Experiment 1), the consistency with which a cause and its effect are presented together (Experiment 2), and the fluency of an observation brought about by the number of times it is repeated (Experiment 3). In Experiment 4, we directly replicate the results of Experiment 3 and explore the bias’s underlying mechanism: We find first evidence for that respondents use the perceived validity of inferring prediction from comprehension (a sound inference) as an indicator for when to draw the reverse inference (i.e., inferring comprehension from prediction) that underlies the PCB. This finding points to the PCB stemming from failed reverse inference logic.