We study a general class of gravitational theories formulated in the Palatini approach and derive the equations governing the evolution of tensor perturbations. In the absence of torsion, the connection can be solved as the Christoffel symbols of an auxiliary metric which is non-trivially related to the space-time metric. We then consider background solutions corresponding to a perfect fluid and show that the tensor perturbations equations (including anisotropic stresses) for the auxiliary metric around such a background take an Einstein-like form. This facilitates the study in a homogeneous and isotropic cosmological scenario where we explicitly establish the relation between the auxiliary metric and the spacetime metric tensor perturbations. As a general result, we show that both tensor perturbations coincide in the absence of anisotropic stresses.