This article reports on a case study of five Chinese postgraduate students’ experiences and perceptions of teacher feedback in UK higher education. Situated within an international higher education context, the study focuses on the affective and cognitive aspects of teacher feedback. Employing qualitative methods, the study involved five participants in two phases of their education - the pre-sessional English for Academic Purpose (EAP) programme and the MA TESOL programme. Data were collected through background interviews, stimulated recall and retrospective interviews. The findings show that a recursive process was taking place in students’ affective and cognitive engagement with feedback, and their affective reactions were moderated by their cognitive understanding of the feedback. The study has important implications for internationalisation of higher education through students’ academic experiences in different higher education contexts.