We report on a study of affective states of learners in a Massive Open Online Course (MOOC) and the interplay of Affect, Behavior and Cognition at various stages of the course. Affect is measured through a series of self-reports from learners at strategic time posts during the period of study. Behavior is characterized in terms of a learners' engagement, interactivity, impatience and reflectivity, which constitute a set of novel high-level features derived from the clickstream of learner interactions. Cognition is evaluated from the performance of learners on assessments that are part of the course. We discover that learners in the MOOC experience multiple as well as mixed emotions as they go through the course, which we handle using the psychological dimensions of arousal and valence. This results in a set of emotional quadrants, whose co-occurrence analysis reveals a strong association with cognition and specific behavioral characteristics demonstrated by the learner. These results advance our understanding of the experience of MOOC learners to a more holistic level across the key dimensions of affect, behavior and cognition. They also have important implications for the design of the next generation MOOCs that can potentially leverage affect and behavior-aware interventions to drive greater personalization and eventually, improved learning outcomes.