Information access systems are getting complex, and our understanding of user behavior during information seeking processes is mainly drawn from qualitative methods, such as observational studies or surveys. Leveraging the advances in sensing technologies, our study aims to characterize user behaviors with physiological signals, particularly in relation to cognitive load, affective arousal, and valence. We conduct a controlled lab study with 26 participants, and collect data including Electrodermal Activities, Photoplethysmogram, Electroencephalogram, and Pupillary Responses. This study examines informational search with four stages: the realization of Information Need (IN), Query Formulation (QF), Query Submission (QS), and Relevance Judgment (RJ). We also include different interaction modalities to represent modern systems, e.g., QS by text-typing or verbalizing, and RJ with text or audio information. We analyze the physiological signals across these stages and report outcomes of pairwise non-parametric repeated-measure statistical tests. The results show that participants experience significantly higher cognitive loads at IN with a subtle increase in alertness, while QF requires higher attention. QS involves demanding cognitive loads than QF. Affective responses are more pronounced at RJ than QS or IN, suggesting greater interest and engagement as knowledge gaps are resolved. To the best of our knowledge, this is the first study that explores user behaviors in a search process employing a more nuanced quantitative analysis of physiological signals. Our findings offer valuable insights into user behavior and emotional responses in information seeking processes. We believe our proposed methodology can inform the characterization of more complex processes, such as conversational information seeking.