The aim of this study is to evaluate the role of the type of interface device in the efficacy of a serious game that teaches emotional regulation (ER) strategies in a non-clinical sample of adolescents. We conducted a between-participants experiment in which participants (N = 61) played a frustration induction game, and then an ER game (a breathing strategy game), using one of three types of devices (computer, smartphone, and RGB-D camera). Frustration mood and perceived arousal were the main variables measured. Results revealed a significant interaction between moment (pre-induction phase, post-induction phase, and regulation phase) and the type of interface device used in the frustration mood scores. In participants who used the computer and smartphone, frustration increased after the induction phase and decreased after the regulation phase. However, for participants who used the RGB-D camera, frustration decreased significantly after the induction phase, and this change was maintained after the regulation phase. Changes in arousal were similar with the three devices. This study highlights that the type of interface device (and specifically, the participation of the body) is a crucial variable in the efficacy of serious games affecting users’ emotional experience.