This article reviews how organisms learn and recognize the world through the dynamics of neural networks from the perspective of Bayesian inference, and introduces a view on how such dynamics is described by the laws for the entropy of neural activity, a paradigm that we call thermodynamics of the Bayesian brain. The Bayesian brain hypothesis sees the stimulus-evoked activity of neurons as an act of constructing the Bayesian posterior distribution based on the generative model of the external world that an organism possesses. A closer look at the stimulus-evoked activity at early sensory cortices reveals that feedforward connections initially mediate the stimulus-response, which is later modulated by input from recurrent connections. Importantly, not the initial response, but the delayed modulation expresses animals' cognitive states such as awareness and attention regarding the stimulus. Using a simple generative model made of a spiking neural population, we reproduce the stimulus-evoked dynamics with the delayed feedback modulation as the process of the Bayesian inference that integrates the stimulus evidence and a prior knowledge with time-delay. We then introduce a thermodynamic view on this process based on the laws for the entropy of neural activity. This view elucidates that the process of the Bayesian inference works as the recently-proposed information-theoretic engine (neural engine, an analogue of a heat engine in thermodynamics), which allows us to quantify the perceptual capacity expressed in the delayed modulation in terms of entropy.