Various theoretical approaches propose that emotions in the classroom are elicited by appraisal antecedents, with subjective experiences of control playing a crucial role in this context. Perceptions of control, in turn, are expected to be influenced by the classroom social environment, which can include the teaching methods being employed (e.g., direct instruction or small-group work). In the present study we sought to investigate the effect of various types of teaching methods on students' emotions during mathematics lessons with students' control-related appraisals (indicated by pace of instruction and perceived choice) mediating this effect. In a sample of 141 Swiss high-school students, discrete emotions, control-related appraisals, and teaching methods were assessed via the experience-sampling method (i.e., highly ecologically valid real-time assessments) over the course of 2 weeks (once per mathematics lesson resulting in 807 total lesson ratings). Of the three main teaching method categories, direct instruction was reported most frequently (42.6%), followed by working individually (24.5%), and working in small groups or pairs (14.1%). Results of multilevel analyses revealed that direct instruction was associated with slightly lower levels of positive emotions and higher levels of boredom compared to the other two teaching methods, whereas there were no significant differences regarding levels of anxiety or anger. The impact of teaching methods on emotions was found to be partly mediated by control-related appraisals. The role of teaching methods for fostering students' emotions that are conducive to learning is discussed.