Ambulatory monitoring has gained powerful new tools due to recent electronic and computer advances. The capability simultaneously to monitor numerous physiological parameters and behavior enhances the ecological validity of field assessment, but methodological challenges abound that can compromise attempts to understand biobehavioral relations in the real world. A major obstacle is that physiological dysregulation or emotion effects can be masked by variation in physical activity. Using a multi-channel ambulatory recording system, a wide array of self-report, physiological and environmental measurements was collected from 28 participants during quiet sitting, physical exercise and an emotion induction consisting of a short commercial flight. Half of the participants were selected to respond to flying with intense anxiety, the other half, with moderate excitement. Recorded channels included ECG, EDA, calibrated respiration pattern, and skin temperature, from which 17 physiological parameters were calculated. Accelerometry and self-report in an emotion diary served as manipulation checks. Results indicate that many parameters, including heart rate, respiratory sinus arrhythmia, and skin conductance level and its fluctuation rate, were strongly and nonspecifically affected by both anxiety and exercise. However, parameters of respiratory volume were particularly responsive to exercise, while certain parameters of irregularity in breathing were to anxiety. Several respiratory timing parameters were responsive to both exercise and excitement. We conclude that physiological measures provide information helping to distinguish emotional from physical activation. However, additional context awareness is necessary for confident data interpretation in ambulatory recording. This can be achieved by specific channels such as accelerometry, items in an electronic diary, semi-structured protocols, and statistical modeling.