Why is it difficult to be virtuous? Although cultural wisdom teaches that cultivating virtue brings happiness—and empirical studies have demonstrated the long-term benefits of acting virtuously—many people seem to behave as though exercising virtues is difficult, or even painful. When it comes to virtue, any benefits for the self may seem distant: short-term pain for long-term gain. We propose, however, that behaving virtuously often provides affective benefits even in the short term, but these benefits are obscured by systematic affective forecasting errors. Using five virtues (humanity, wisdom, courage, temperance, and transcendence), we demonstrate that people tend to feel happier after acting virtuously. We also show that people do not realize that these short-term emotional benefits will occur; when asked to predict how they will feel, people make inaccurate affective forecasts. We argue that these affective forecasting errors drive people away from the exercise of virtue.