This paper provides a first systematic assessment of how entrepreneurs react to firm failure. As hypothesized, we find that these reactions are complex and multifaceted, involving grief as well as relief. We use appraisal theory as an overarching theoretical framework. To test the hypotheses we develop a unique, hand collected, database of entrepreneurs who recently filed for firm bankruptcy. 310 telephone interviews were conducted (response rate 65%) directly followed by a mail questionnaire. After a three-wave mailing (i.e. two reminders) 147 valid mail questionnaires were returned (response rate 31.2%). This paper constitutes an important step in advancing empirically valid theory of emotional responses to entrepreneurial failure.