A recent study by UK researchers from Goldsmiths College in London suggests that dogs may be capable of empathy.
They set out to collect 18 untrained pet dogs and place a stranger and the dogs owner in different places. The owner and stranger would alternately express themselves vocally in various ways. 15 of the 18 dogs sought out the person making distressed sounds, even if it was the stranger(Garrett).
this demonstrates that dogs are capable of exhibiting consolatory behavior, and thus, a degree of empathy in trying to comfort the sad person.