I can't imagine that animals feel guilty. Perhaps they can be reprimanded by their owners not to do something, but guilt? Nah I don't think so.
It's hard to know without any way of asking them, but there are instances of dogs and some other animals acting "guilty". I'm sure there has been some kind of studies done with more social animals that might show up in an internet search.
Story time: 6 years ago, before he passed, my dog got into something and I commanded him to get out from under the table, he didn't. I then reached to get his collar and I accidentally pulled at a weird angle that must of hurt because he then bit me.
When he let go I was dead quiet, looked at my hand (now with a gaping hole) and I saw him with the biggest eyes ever and ears down, and he just put his head low and walked away. If that wasn't guilt I don't know what is, since that was not a particularly submissive dog.