Desirability and feasibility beliefs about an entrepreneurial opportunity are antecedents of entrepreneurial action, but the way such beliefs form and the distinctive cognitive–emotional mechanisms underlying their formation remain unclear. Using evidence about belief-specific cognitive contents from an entrepreneurial action model and belief-specific cognitive processes from construal-level theory, this study empirically demonstrates the need to disentangle desirability and feasibility opportunity beliefs; it also investigates the indirect effects of three distinct emotions (anger, fear, and happiness) on the formation of desirability and feasibility beliefs, through the cognitive appraisals of controllability.