Subjective self-assessment is a frequently used method when it comes to Quality of Experience assessment in general. If correctly used a variety of scales can be applied to assess the quality of cloud gaming for different constructs such as experienced quality or flow. Besides self-assessment, physiological correlates are a promising method to measure the influence of cloud gaming quality on the player without the interruption introduced by the rating task. We present subjective and physiological results and lessons learned from a laboratory study in which 32 participants played a first person shooter game in a cloud gaming setup with varying levels of video quality caused by different video compression bitrates. We found that the video quality influenced the perceived quality, player experience, the valence rating, and the alpha frequency band power. It is shown that 1) subjective methods assess the quality variation and 2) physiological measures capture the influence on the player in terms of a reduced cognitive state. Taken together, test set-ups will benefit from a mixed methods approach in cloud gaming QoE testing.