Affective experiences occur across the wake-sleep cycle—from active wakefulness to resting wakefulness (i.e., mind-wandering or daydreaming) to sleep (i.e., dreaming). Yet, we know little about the dynamics of affective experiences across these states. Here, we investigated the within-person fluctuations in the prevalence and valence of affect experienced during mind-wandering and night-time dreaming. We compared the affective ratings of 328 mind-wandering and 529 dream episodes from 32 healthy adults. In a sub-sample, we additionally analysed the affective ratings of 548 waking episodes from 15 participants. Results showed that mind-wandering was more positively valenced than dreaming, and that both mind-wandering and dreaming were more negatively valenced than active wakefulness. We also compared participants’ self-ratings of affect with external ratings of affective experiences described in verbal reports regarding the same episodes. With self-ratings all the episodes were predominated by positive affect. However, the affective valence of verbal reports changed from positively valenced waking reports to affectively balanced mind-wandering reports to negatively valenced dream reports. Together, the findings show that (1) the positivity bias (i.e., more positive than negative affect) characteristic to waking experiences decreases across the wake-sleep continuum, and (2) conclusions regarding the affective nature of subjective experiences depend on whether self-ratings of affect or the verbal reports describing these experiences are analysed. These findings contribute to our understanding of the nature and possible function of affective experiences across different states of consciousness and call for more integration between the fields of emotion research, mind-wandering research, and dream research.