Active Inference is an emerging framework for designing intelligent agents. In an Active Inference setting, any task is formulated as a variational free energy minimisation problem on a generative probabilistic model. Goal-directed behaviour relies on a clear specification of desired future observations. Learning desired observations would open up the Active Inference approach to problems where these are difficult to specify a priori. This paper introduces the BAyesian Target Modelling for Active iNference (BATMAN) approach, which augments an Active Inference agent with an additional, separate model that learns desired future observations from a separate data source. The main contribution of this paper is the design of a coupled generative model structure that facilitates learning desired future observations for Active Inference agents and supports integration of Active Inference and classical methods in a joint framework. We provide proof-of-concept validation for BATMAN through simulations.