Near-miss outcomes during gambling are non-win outcomes that fall close to a pay-out. While objectively equivalent to an outright miss, near-misses motivate ongoing play and may therefore be implicated in the development of disordered gambling. Given naturalistic data showing increases in heart rate (HR) and electrodermal activity (EDA) during periods of real gambling play, we sought to explore the phasic impact of win, near-miss and full-miss outcomes on physiological arousal in a controlled laboratory environment. EDA and HR were monitored as healthy, student participants (n = 33) played a simulated slot-machine task involving unpredictable monetary wins. A second gambling distortion, perceived personal control, was manipulated within the same task by allowing the participant to select the play icon on some trials, and having the computer automatically select the play icon on other trials. Near-misses were rated as less pleasant than full-misses. However, on trials that involved personal choice, near-misses produced higher ratings of 'continue to play' than full-misses. Winning outcomes were associated with phasic EDA responses that did not vary with personal choice. Compared to full-misses, near-miss outcomes also elicited an EDA increase, which was greater on personal choice trials. Near-misses were also associated with greater HR acceleration than other outcomes. Near-miss outcomes are capable of eliciting phasic changes in physiological arousal consistent with a state of subjective excitement, despite their objective non-win status.