Given that employee performance goals are major determinants of work motivation and performance, examining the factors that influence goal setting has generated substantial research interest. Despite decades of work, however, the relationship between affect and goal setting is poorly understood. Based on mood-as-information and arousal-as-information theories, our study examines the extent that affective valence and affective arousal influence goal-setting processes and, in particular, the extent that the activation level moderates the effect of affective valence. Since theoretical perspectives that attempt to explain the process of goal setting are commonly based on an expectancy-value framework, we examined the effects of affective states on performance goal level and its antecedents of expectancy and valence. Participants were 142 university students, and the performance task was solving anagrams across two trials. Positive affective states were positively associated with expectancy and goal-level judgments, whereas negative affective states were negatively associated with expectancy and goal-level judgments. However, affective states were not found to be associated with valence judgments. Contrary to expectations, our findings did not support the moderating effect of affective arousal. We discuss the various implications of our findings for mood-as-information theory and arousal-as-information theory as well as for future research.