Evidential likelihood-based inference is a new approach to statistical inference in which the relative likelihood function is interpreted as a possibility distribution. By expressing new data as a function of the parameter and a random variable with known probability distribution, one then defines a random fuzzy set and an associated predictive belief function representing uncertain knowledge about future observations. In this paper, this approach is applied to binomial and multinomial regression. In the binomial case, the predictive belief function can be computed by numerically integrating the possibility distribution of the posterior probability. In the multinomial case, the solution is obtained by a combination of constrained nonlinear optimization and Monte Carlo simulation. In both cases, computations can be considerably simplified using a normal approximation to the relative likelihood. Numerical experiments show that decision rules based on predictive belief functions make it possible to reach lower error rates for different rejection rates, as compared to decisions based on posterior probabilities.