In this commentary, we respond to a technical analysis of the Free Energy Principle (hereafter: FEP) presented in “How particular is the physics of the Free Energy Principle” by Aguilera et al. In the target article, the authors analyzed certain sparsely coupled stochastic differential equations whose non-equilibrium steady-state densities are claimed-in previous FEP literature-to have a Markov blanket. The authors demonstrate that in general, Markov blankets are not guaranteed to follow from sparse coupling. The current commentary explains the relationship between sparse coupling and Markov blankets in the case of Gaussian steady-state densities. We precisely derive conditions under which causal coupling leads–or does not lead–to Markov blankets. Importantly, our derivations hold for both linear and non-linear stochastic differential equations. Importantly, the more non-linear and high-dimensional a system, the more likely sparse coupling will lead to a Markov blanket. This result may shed light on the sorts of systems which we expect to have Markov blankets. Future work should focus on verifying whether these sorts of constraints are satisfied in realistic models of sparsely coupled systems.