The paradox of fiction presents an inconsistent triad of propositions, all of which are purported to be plausible or difficult to abandon. Here is an instance of the paradox: (1) Sally pities Anna (where Anna is the character Anna Karenina). (2) To pity someone, one must believe that they exist and are suffering. (3) Sally does not believe that Anna exists. Here is the problem. The paradox was formulated during the heyday of the cognitive theory of the emotions when there was a lot of theoretical commitment to (2) or a variant of it. But now virtually no one accepts (2). To solve the paradox, we just have to find a way to reject one of the inconsistent statements. It appears easy to reject (2). So why do even some of those who do reject (2) not leave matters there? I argue that there is still good reason to consider other solutions to the paradox. It is only by doing so that we fully understand the affective states with which we respond to fiction, in particular, the distinctive functional role that they have in this context.