Depends on the state, according to Brian Palmer of Slate Magazine.

When police in Western New York pulled over Gary Korkuc for blowing off a stop sign on Sunday, they found a live cat in his trunk, covered in cooking oil, peppers, and salt. Korkuc told authorities that his pet feline was "possessive, greedy, and wasteful" and that he intended to cook and eat it. Korkuc has been charged with animal cruelty. …

Few states have specific laws barring the use of pets for food. The ones that do typically ban the slaughter or sale of dog and cat meat. The state of New York expressly prohibits "any person to slaughter or butcher domesticated dog (canis familiaris) or domesticated cat (felis catus or domesticus) to create food, meat or meat products for human or animal consumption." It’s not clear whether the eating itself is outlawed or only the butchery. If you managed to buy dog or cat flesh from someone else who broke the anti-slaughter law, you might be OK. The law also doesn’t cover ferrets, gerbils, parakeets, or other less familiar pet species. (Although the general anti-cruelty law might protect exotics.)

California’s anti-pet-eating law has a broader reach. It bars possession of the carcass, so having bought your cat steaks from someone else wouldn’t be a useful alibi. The California law also protects "any animal traditionally or commonly kept as a pet or companion," rather than just Fido and Fluffy. The statute is somewhat untested, though, so no one really knows which animals are included.

Pigs are not, even though they are commonly kept as pets, because they are farm animals. Horses are specifically covered by a different section of the code. There’s no precedent on iguanas, goldfish, or boa constrictors. …

Authorities won’t have any trouble prosecuting Korkuc, the Western New Yorker who was marinating his cat in the trunk. Whether or not he really intended to eat his feline, keeping a companion animal in a motor vehicle without proper ventilation is illegal. Rubbing the cat with chili-infused oil, while not specifically addressed, is also a violation of the state’s general cruelty law, which prohibits torture.