Near-misses in slot machines resemble jackpot wins but fall just short. Previous research has demonstrated that near-misses are behaviorally reinforcing despite the absence of monetary reward. We assessed the hedonic properties of near-misses by measuring the time between outcome delivery and the initiation of the next spin—the post-reinforcement pause (PRP) and skin conductance responses (SCRs) for losses, near-misses, and a range of wins (5, 15, 25, 50 or 250 credits) while participants (N = 122) played a slot machine simulator. PRPs and SCRs were compared for 40 low frequency and 22 high frequency slots players who were non-problem gamblers, 37 at risk players, and 23 problem gamblers. For winning outcomes, PRPs and SCRs tracked monotonically with win size such that progressively larger wins were associated with progressively larger PRPs and SCRs. Near-misses with jackpot symbols landing on the first two reels had significantly larger SCRs than regular losses, and other types of near misses. Crucially, PRPs for this kind of near-miss were significantly smaller than all wins, and when non-parametric statistics were used, significantly smaller than regular losses. This pattern of large SCRs and small PRPs suggest that these are highly frustrating outcomes that stimulate appetitive components of the reward system to promote continued gambling.