Invention activities can promote reflective learning processes. However, their inclusion in educational practice can generate doubts because they take up time that can otherwise be invested in explaining content, and because some students might experience frustration and anxiety while trying to solve them. This study experimentally evaluated the efficacy of invention activities in a university statistics class, considering both emotions (self-reported) and learning achieved. In total, 43 students were randomly assigned to either (a) inventing variability measures before receiving instruction about the topic of statistical variability, or (b) completing a similar problem-solving activity, but only after they had received guidance with a worked example concerning the target concepts. Students in the first condition acquired greater conceptual knowledge, which is an indicator of deep learning. The emotions experienced during the learning activities were similar in both learning conditions. However, it was notable that enjoyment during the invention phase of the invention condition was strongly associated with higher achievement. Invention activities are a promising educational strategy that require students to play an active role, and can promote deep learning. This study also provides implementation guidelines for teachers while discussing the possibilities offered by new technologies.