Think-aloud protocols are commonly used to evaluate player experiences of video games but suffer from a lack of objectivity and timeliness. On the other hand, quantitative captures of physiological data are effective; providing detailed, unbiased and continuous responses of players, but lack contexts for interpretation. This paper documents how both approaches could be used together in practice by comparing video-cued retrospective think-aloud data and physiological data collected during a video gameplay experiment. We observed that many interesting physiological responses did not feature in participants' think-aloud data, and conversely, reports of interesting experiences were sometimes not observed in the collected physiological data. Through learnings from our experiment, we present some of the challenges when combining these approaches and offer some guidelines as to how qualitative and quantitative data can be used together to gain deeper insights into player experiences.