Design thinking (DT) and computational activities foster children's knowledge capital for 21st-century literacies. The analysis of these activities often overlooks affective and behavioural states despite their significance in providing insights into children's learning processes. Typically, these states and their changes are self-reported, lacking real-time capturing. Moreover, inquiries via Multi-Modal Data (MMD) for more comprehensive views are underrepresented in the current literature. We, therefore, conducted a DT activity focusing on coding engaging 33 children (aged 10 to 12) and analysed measurements including learning gain (from knowledge tests) and behavioural and affective states (from physiological sensors, video and voice recordings). Our results show that engagement and confusion exhibit positive correlations between MMD measurements and learning gain, while stress, frustration and anger stand out as detrimental for it. By mapping transitions in states experienced by the children, we unravelled negative learning scenarios that should be limited, along with positive indicators of increased performance.