This paper explores the application of AI-guided instruction combined with Alternate Reality Games (ARG) to enhance learning performance, specifically focusing on students' learning emotions, engagement, and control beliefs. Based on the Retrieval-Augmented Generation (RAG) Large Language Model (LLM) framework, this study aims to address challenges caused by traditional AI-led instruction, such as emotional detachment and learning disengagement. By integrating immersive ARG experiences, the study evaluates the learning outcomes of students with different cognitive styles in an introductory digital learning course. A qualitative grounded theory approach is used, analyzing data from interviews with 65 students to understand their learning experiences. The findings indicate significant improvement in students' engagement, emotional connections, and sense of control over their learning process when ARG elements were incorporated. Implications for the future of digital learning, as well as recommendations for addressing challenges in AI-enhanced education, are discussed.