Uncertainty and affect are fundamental and interrelated aspects of the human condition. Uncertainty is often associated with negative affect, but in some circumstances, it is associated with positive affect. In this article, we review different explanations for the varying relationship between uncertainty and affect. We identify “mental simulation” as a key process that links uncertainty to affective states. We suggest that people have a propensity to simulate negative outcomes, which result in a propensity toward negative affective responses to uncertainty. We also propose the existence of several important moderators of this process, including context and individual differences such as uncertainty tolerance, as well as emotion regulation strategies. Finally, we highlight important knowledge gaps and promising areas for future research, both empirical and conceptual, to further elucidate the relationship between uncertainty and affect.