Why do we enjoy sad and serious narratives? According to recent research in communication theory and media psychology, it is because such narratives provide us with an occasion to reflect on deep and meaningful truths about human lives. However, this "eudaimonic" appreciation of sad narratives is not purely cognitive. Here, we connect this literature to recent research in affective sciences on feelings of "being moved." Drawing on both philosophical analysis and psychological data, we argue that, because it is elicited by the contemplation of important positive values, the positive emotion of "being moved" plays a major role in the "eudaimonic" appreciation of sad narratives. Not only is it part of the pleasure they give us, but it leads us to reflect deeper about them.