Tolkien's elves have better communication with animals than humans (like riding horses without needing a bridle or other control device) but is there any indication they keep pets?

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    Not an elf, but Berúthiel was quite fond of cats. – Adamant Jun 30 '16 at 14:29

The closest I can think of would be Huan, who was kept by Celegorm as a gift from Oromë, and then later bonded with Lúthien:

[T]he chief of the wolf hounds that followed Celegorm was named Huan. He was not born in Middle-earth, but came from the Blessed Realm; for Oromë had given him to Celegorm long ago in Valinor, and there he had followed the horn of his master, before evil came.

The Silmarillion III Quenta Silmarillion Chapter 19: "Of Beren and Lúthien"

I include Huan here mainly because he's the only animal I can think of who formed an emotional connection to an Elf, which is to my mind the thing that distinguishes a "pet" from a "kept animal."

Other than this admittedly shaky case, no; there is no evidence that the Elves kept domesticated animal for purely emotional reasons. Even Huan was principally a hunting hound, and would presumably have had a very different relationship to Celegorm than I have to my own dog.

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    As an aside, the notion of pets do exist within Middle-earth, though it seems to be more common (or exclusive to) the Shire-Bree area; in Fellowship we learn that Bob the Hobbit has a cat, for instance – Jason Baker Jun 30 '16 at 14:36
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    And don't forget the cats of Queen Berúthiel. – Daniel Roseman Jun 30 '16 at 14:51
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    There are a few other similes involving cats, including one "(his cat, he calls her, but she owns him not)" (The Two Towers, Book IV, Chap 9, "Shelob's Lair") that indicates ownership of an animal, but these seem to be artifacts of narration rather than description of what's in Middle-earth. And of course Farmer Maggot keeps dogs; but those aren't necessarily "pets" in the way we often think of the term. – Matt Gutting Jun 30 '16 at 17:56

Sometimes in the Silmarillion nightingales and other birds are mentioned around Melian, the Maia. Even in Menegroth were there birds, so they must live among the elves.

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