This study examines the sexual fantasy experiences and cognitive‐affective evaluations in a sample of conservative Christians. The study also operationalizes and documents fantasy guilt as an entity distinct from the more broadly defined category of sex guilt. Respondents reported normative fantasy categories and frequencies of fantasy occurrences. Concomitantly, fantasy episodes were experienced along with substantial to high levels of guilt over fantasizing. Findings show a complex interrelationship between a subject's cognitions, emotions, and fantasy guilt. These point to the import this sample gives to learned cognitions in furthering guilt, over and above the content or frequency of the fantasy experience itself.