Suppose $F$ is a self-affine set on $\mathbb{ R}^d$, $d\geq 2$, which is not a singleton, associated to affine contractions $f_j = A_j + b_j$, $A_j \in \mathrm{ GL}(d,\mathbb{ R})$, $b_j \in \mathbb{ R}^d$, $j \in \mathcal{ A}$, for some finite $\mathcal{ A}$. We prove that if the group $\Gamma$ generated by the matrices $A_j$, $j \in \mathcal{ A}$, forms a proximal and totally irreducible subgroup of $\mathrm{ GL}(d,\mathbb{ R})$, then any self-affine measure $\mu = \sum p_j f_j \mu$, $\sum p_j = 1$, $0 < p_j < 1$, $j \in \mathcal{ A}$, on $F$ is a Rajchman measure: the Fourier transform $\widehat{ \mu}(\xi) \to 0$ as $|\xi| \to \infty$. As an application this shows that self-affine sets with proximal and totally irreducible linear parts are sets of rectangular multiplicity for multiple trigonometric series. Moreover, if the Zariski closure of $\Gamma$ is connected real split Lie group in the Zariski topology, then $\widehat{ \mu}(\xi)$ has a power decay at infinity. Hence $\mu$ is $L^p$ improving for all $1 < p < \infty$ and $F$ has positive Fourier dimension. In dimension $d = 2,3$ the irreducibility of $\Gamma$ and non-compactness of the image of $\Gamma$ in $\mathrm{ PGL}(d,\mathbb{ R})$ is enough for power decay of $\widehat{ \mu}$. The proof is based on quantitative renewal theorems for random walks on the sphere $\mathbb{ S}^{ d-1}$.
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