We conducted an exploratory study on affect regulation during game-based learning where 110 college-aged participants (M[subscript age] = 22.14, SD[subscript age] = 1.24; 50.0% female; 70.0% White) played an easy, medium, and difficult level of an educational game (Physics Playground) while self-reporting their strongest affective state and regulation strategies associated with each level. Participants also self-reported their effort and completed a physics posttest after gameplay. We found that frustration, confusion, determination, and curiosity were the dominant affective states (81.4% of total reports) while cognitive reappraisal and acceptance were the major affective regulation strategies (others individually occurred less than 10.1% of the time). Engaging in cognitive reappraisal -- an affective regulation strategy that involves changing the way one thinks about a situation -- was beneficial for successfully solving a level when participants were frustrated or confused, but had no effect when participants were determined or curious. Engaging in cognitive reappraisal when experiencing high frustration/ confusion positively predicted posttest scores, but only for those who put a high amount of effort into the game. For students who were low in effort or low in frustration/confusion, simply accepting one's emotions when experiencing high frustration/confusion was beneficial. We discuss theoretical implications and applications towards game-based learning supports to promote persistence and learning outcomes.