The free energy principle (FEP) portends to provide a unifying principle for the biological and cognitive sciences. It states that for a system to maintain non-equilibrium steady-state with its environment it must minimise its (information-theoretic) free energy. Under the FEP, to minimise free energy is equivalent to engaging in approximate Bayesian inference. According to the FEP, therefore, inference is at the explanatory base of biology and cognition. In this paper, we discuss a specific challenge to this inferential formulation of adaptive self-organisation. We call it the universal ethology challenge: it states that the FEP cannot unify biology and cognition, for life itself (or adaptive self-organisation) does not require inferential routines to select adaptive solutions to environmental pressures (as mandated by the FEP). We show that it is possible to overcome the universal ethology challenge by providing a cautious and exploratory treatment of inference under the FEP. We conclude that there are good reasons for thinking that the FEP can unify biology and cognition under the notion of approximate Bayesian inference, even if further challenges must be addressed to properly draw such a conclusion.