As far as I'm aware (and concerned) it has been shown.
By this I don't mean that the animals killed for food have long-range fears of the far future in the way that humans are aware of death (their own; that of others) at some unspecified point not-now-but-yet-to-come. That might be the case, but there's no evidence of it.
On the other hand it's surely obvious that animals have proximate, right-now fears. To deny this is to deny the evidence of your senses - including the behaviour of animals in slaughterhouses, or a group of cows spooked by a barking dog and so forth.
I grant that they have immediate fears, as of course they would, as it helps survival.
That's why I would like them despatched in a way that caused no fear and no pain so that they are converted to food in a humane way.
That, this is not what happens all the time everywhere, is not something I am happy with, and would like to see changed.
But, that is true for lots of things, that I also still take part in or use.
I travel by car, and I know people die in cars.