Understanding the interaction between cognitive load and features of video game play is important for the accurate measurement and application of this psychological construct in both research and industry scenarios to enhance the player experience. A challenge within this domain is the use of measurements developed in different areas in video games without first validating or testing the reliability of these tools. We present a holistic evaluation of methods used to measure cognitive load during naturalistic gameplay of a commercially available sandbox game. This study measures electroencephalography, electromyography, heart rate, heart rate variability, electrodermal activity, and eye blink rate from players during a building task in Minecraft whilst being assisted by a virtual companion. Various models reveal that a number of physiological measures can be used as a proxy of subjective cognitive load measurement, providing further insight into the player experience during gameplay. Our analysis also reveals some discriminant validity of the subjective measurement used. These results can help inform the choice of sensor in evaluating video game features, or when needing to accurately measure cognitive load for an adaptive situation or high-risk scenario.