My cats do not seem particularly bothered by thunder - I cannot say I have seen them reacting when they are in the house and I can only presume they are OK when they are out because unless they are sat on the garden wall they do not come running it but just turn up afterwards same as usual.
It can be different with dogs though and I have to say I think in a significant number of cases dogs take their cues from humans. I have not had a dog scared of thunder - but then I deliberately trained them not to afraid. As soon as a thunderstorm came up (not massively common around here, maybe half a dozen a year if that) if I had a new dog, be it puppy or a re-homed, I would put the lead on and fill my pockets with treats and go out for a walk. Every flash of lightening and every clap of thunder resulted in the dog getting a treat. By the end of the storm I would have a dog that even if not thinking thunder equated to Christmas was certainly not scared. After that although I would deliberately walk in thunder if time was appropriate I could stay indoors and just give the odd reward for a particularly loud bang.
I think one of the big mistakes people make is to reassure new re-homed dogs or puppies if they seem scared of thunder - from the dogs point of view they look to a human as pack leader and if something makes them nervous scared the reassurance translates as the pack leader telling them they are right to be nervous or scared. If on the other hand the human does not react or starts a game or gives a treat it tells the dog the pack leader is not worried so they do not have to be worried.
Of course these are just general - if I came across an animal that was already terrified of storms when I met it then taking it for a walk and giving treats would not work I would have to take smaller steps. If it is a new puppy though I train it to associate thunder with treats.
