This article explores the question of what we are actually afraid of when we are scared at the movies. It is usually claimed that our fear derives from our engagement with characters and our participation through thought, simulation, or make-believe in fearful situations of the filmic world. These standard accounts provide part of the explanation why we are afraid—this article complements them by showing that we often literally fear for ourselves as well. Concentrating on an anticipatory subspecies of cinematic fear dubbed “dread,” the article argues that we often fear a negative affective outcome, namely our own fearful experience of shock and/or horror that usually ends scenes of dread. By looking at viewers' action tendencies and actions proper activated in dreadful moments, the article suggests that we appraise scenes of dread as potentially harmful to our current (and even future) psychological well-being. Dread thus turns out to be a specific kind of metaemotion.