Are there examples of people expressing empathy for animals in antiquity (as opposed to anger for loss of utility)?
Plutarch's Moralia includes a lengthy treatise on eating meat, and why this practice should be abstained from. The name of the said essay is Peri sarkofagias in Greek and De esu carnium in Latin, or On Meat-Eating.
Plutarch argues that all meat should be considered "costly", not only in monetary but in moral terms, for taking the soul of a living being is not to be taken lightly. He holds that men were meant to be herbivores, as they lack fangs and their physique is not sufficient to slay a large beast without a weapon.
Plutarch then notes that in the past, when agriculture had not been invented yet, it was understandable that men ate meat to sustain themselves. Now that agriculture can provide vegetarian food for everyone, meat-eating is but a symptom of hubris -- it only teaches its practitioners to be brutal and violent, sometimes to the point of killing each other. Only in the times of extreme need should meat be consumed.
Finally, Plutarch argues that animals have senses, souls, and a degree of intellect, being relatively similar to men in terms of mental faculties. As such, they also possess rights, just as men do. Plutarch also proposes that a social contract of sorts exists between men and animals.
He then considers the idea of reincarnation. While such a phenomenon cannot be proved, it cannot be excluded either -- as such, there remains a possibility that when butchering or eating an animal, one actually kills and consumes a deceased friend or relative.
Plutarch concludes that animal slaughter (and meat-eating as a consequence) is comparable to murder, and finds it disgusting that people habitually commit such a crime in order to delight their friends or to celebrate important events such as weddings or religious holidays.
EDIT: Grammar fix.
Certainly! The Romans were exceptionally fond of their dogs and frequently treated and viewed them as a member of the family or close friend, even going as far as to give them tombstones and write them epitaphs (Martial, 1.109):
"Issa is more playful than the sparrow of Catullus. Issa is more pure than the kiss of a dove. Issa is more loving than any maiden. Issa is dearer than Indian gems. The little dog Issa is the pet of Publius. If she complains, you will think she speaks. She feels both the sorrow and the gladness of her master. She lies reclined upon his neck, and sleeps, so that not a respiration is heard from her. And, however pressed, she has never sullied the coverlet with a single spot; but rouses her master with a gentle touch of her foot, and begs to be set down from the bed and relieved. Such modesty resides in this chaste little animal; she knows not the pleasures of love; nor do we find a mate worthy of so tender a damsel. That her last hour may not carry her off wholly, Publius has her limned in a picture, in which you will see an Issa so like, that not even herself is so like herself. In a word, place Issa and the picture side by side, and you will imagine either both real, or both painted."
Another example that comes to mind is Arrian's treatise on coursing, in which he makes a very charming diversion to describe his own hound, who was apparently whipped as a puppy, as transcribed from this 19th century translation by William Dansey (pp. 78-82):
"For I have myself bred up a hound whose eyes are the greyest of the grey; a swift, hard-working, courageous, sound-footed dog, and, in his prime, a match, at any time, for four hares. He is, moreover, (for while I am writing, he is yet alive), most gentle, and kindly-affectioned; and never before had any dog such regard for myself, and friend and fellow-sportsman, Megillus. For when not actually engaged in coursing, he is never away from one or other of us. But while I am at home he remains within, by my side, accompanies me on going abroad, follows me to the gymnasium, and, while I am taking exercise, sits down by me. On my return he runs before me, often looking back to see whether I had turned any where out of the road; and as soon as he catches sight of me, showing symptoms of joy, and again trotting on before me. If I am going out on any government business, he remains with my friend, and does exactly the same towards him. He is the constant companion of whichever may be sick; and if he has not seen either of us for only a short time, he jumps up repeatedly by way of salutation, and barks with joy, as a greeting to us. At meals he pats us first with one foot and then with the other, to put us in mind that he is to have his share of food. He has also many tones of speech - more than I ever knew in any other dog - pointing out, in his own language, whatever he wants.
Having been beaten, when a puppy, with a whip, if any one, even to this day, does but mention a whip, he will come up to the speaker cowering and begging, applying his mouth to the man's as if to kiss him, and jumping up, will hang on his neck, and not let him go until he has appeased his angry threats.
Now really I do not think that I should be ashamed to write even the name of this dog; that it may be left to posterity, that Xenophon the Athenian had a greyhound called Hormé, of the greatest speed and intelligence, and altogether supremely excellent."
Before I answer, I need to ask, by "Antiquity" do you mean specifically the civilizations of the Mediterranean in ancient times or any ancient civilization at all? If you are curious about Ancient India I have an answer for you in that context.
Another good example comes from the games of Pompey in 55 BC, where the general exhibited a large number of elephants. As so often when wild and exotic animals were displayed at Rome, lots of the elephants were killed in fights with human hunters and other creatures. Unusually, the crowd apparently felt horror at this sight, seeing them as noble animals too close to humans to be used in such a way. We have Cicero's contemporary account in a letter he wrote to a fried afterwards (Ad. Fam. 7.1), but the even became legendary, and appears in a number of later writers too (Seneca, De Brevitate Vitae XIII; Pliny, Natural History VIII.7.20; Plutarch, Life of Pompey 52.4; Cassius Dio XXXIX.38). All of them stress the compassion felt by the crowd towards the elephants, who appeared to be begging for their lives by raising their trunks to heaven.