A body of research indicates that people are prone to overestimate the affective impact of future events. Here, we developed a novel experimental paradigm to study these affective forecasting biases under laboratory conditions using subjective (arousal and valence) and autonomic measures (skin conductance responses, SCRs, and heart rate). Thirty participants predicted their emotional responses to 15 unpleasant, 15 neutral, and 15 pleasant scenarios (affective forecasting phase) to which they were then exposed in virtual reality (emotional experience phase). Results showed that participants anticipated more extreme arousal and valence scores than they actually experienced for unpleasant and pleasant scenarios. The emotional experience phase was characterized by classic autonomic patterns, i.e., higher SCRs for emotionally arousing scenarios and greater peak cardiac acceleration for pleasant scenarios. During the affective forecasting phase, we found only a moderate association between arousal scores and SCRs and no valence-dependent modulation of cardiac activity. This paradigm opens up new perspectives for investigating affective forecasting abilities under lab-controlled conditions, notably in psychiatric disorders with anxious anticipations.