Despite the continuous emphasis on emotion in multimedia learning, it was still unclear how pedagogical agent emotional cues might affect learning. In the present study, a between-subjects experiment was performed to examine the effects of a pedagogical agent with dual-channel emotional cues on learners' emotions, cognitive load, and knowledge transfer performance. Participants from a central Chinese university (age mean = 21.26, N = 66) were randomly divided into three groups. These groups received instructions from an affective pedagogical agent, a neutral pedagogical agent, or a neutral voice narration without pedagogical agent embodiment. Results showed that learners assigned the affective pedagogical agent reported a significantly higher emotional level than learners assigned the neutral pedagogical agent. Learners' perceived task difficulty was not significantly different among groups while instructional efficiency was significantly higher for learners with the affective pedagogical agent. Moreover, learners assigned to the affective pedagogical agent performed significantly better on the knowledge transfer test than those assigned the neutral pedagogical agent or the neutral voice.