Situation selection is an emotion regulation strategy consisting in choosing a future emotional situation. Past research showed that Situation selection triggers a decrease in negative experience, exocrine reactions and respiratory activity, while maintaining stable positive experience. In this study, we wanted to replicate these observations and test emotional responses that follow an Illusory choice, i.e., when the chosen situation is not available and replaced by another. Sixty-eight participants watched emotional pictures, either in a condition in which the images were imposed, or in a condition in which they could perform a choice. In these latter trials, participants saw either the chosen option (Situation selection) or the non-selected option (Illusory choice). Continuous recordings of experience and physiological arousal showed that, unlike Situation selection, Illusory choice decreased positive experience but not negative experience. Strikingly, however, we showed that having the choice decreased skin conductance and respiratory arousal, regardless of whether the choice was respected or not. These results have important implications regarding emotion regulation through Situation selection, since having the choice about the upcoming emotional situation, no matter if we really end up in this situation, gives a sense of control that may be sufficient to alleviate physiological responses to stressors.