Neurons must faithfully encode signals that can vary over many orders of magnitude despite having only limited dynamic ranges. For a correlated signal, this dynamic range constraint can be relieved by subtracting away components of the signal that can be predicted from the past, a strategy known as predictive coding, that relies on learning the input statistics. However, the statistics of input natural signals can also vary over very short time scales e.g., following saccades across a visual scene. To maintain a reduced transmission cost to signals with rapidly varying statistics, neuronal circuits implementing predictive coding must also rapidly adapt their properties. Experimentally, in different sensory modalities, sensory neurons have shown such adaptations within 100 ms of an input change. Here, we show first that linear neurons connected in a feedback inhibitory circuit can implement predictive coding. We then show that adding a rectification nonlinearity to such a feedback inhibitory circuit allows it to automatically adapt and approximate the performance of an optimal linear predictive coding network, over a wide range of inputs, while keeping its underlying temporal and synaptic properties unchanged. We demonstrate that the resulting changes to the linearized temporal filters of this nonlinear network match the fast adaptations observed experimentally in different sensory modalities, in different vertebrate species. Therefore, the nonlinear feedback inhibitory network can provide automatic adaptation to fast varying signals, maintaining the dynamic range necessary for accurate neuronal transmission of natural inputs.