An unintended side effect of the goal-setting literature's focus on cognitive dynamics has been an insufficient acknowledgment of how employees affectively experience high-performance goals. This is potentially a crucial oversight, considering the substantial body of research that has demonstrated the impact of employees' affective states on organizationally relevant attitudes and behaviors. Drawing on cognitive-motivational-relational theory (Lazarus, 1991), we explore the discrete affective states elicited by high-performance goals. We suggest that a key to understanding these affective states is the source of the performance goal. The literature has largely considered whether goals are organization-set or self-set to be a peripheral aspect of a goal's impact on employees. From an affective perspective, however, an employee's self-set performance goals may be appraised and experienced quite differently than performance goals assigned by the organization. We build a theoretical model that suggests high organization-set goals will elicit anxiety due to an appraisal characterized by uncertainty and threat, whereas high self-set goals will elicit enthusiasm due to an appraisal characterized by positive expectations and benefit. We propose that these affective states will have diverging effects on employees' emotional exhaustion and, subsequently, their extrarole performance. We support our model both in the field via a 4-wave study conducted with police officers and their supervisors and in the laboratory via an experiment in which we manipulated goal source during a performance task. (PsycINFO Database Record (c) 2020 APA, all rights reserved).