The zero-error feedback capacity of the Gelfand-Pinsker channel is established. It can be positive even if the channel's zero-error capacity is zero in the absence of feedback. Moreover, the error-free transmission of a single bit may require more than one channel use. These phenomena do not occur when the state is revealed to the transmitter causally, a case that is solved here using Shannon strategies. Cost constraints on the channel inputs or channel states are also discussed, as is the scenario where---in addition to the message---also the state sequence must be recovered.