Physiological measurements are promising tools to perform an online evaluation of human-robot interaction. In this study, a controlled human-robot interaction experimental setup for physiological data acquisition is presented, focusing on the elicitation of two cognitive states: cognitive effort and automation surprise. Using various physiological sensors along with subjective and behavioral measures, this setup allowed to collect data from 16 subjects over 2 sessions. Subjective and behavioural data confirm the induction of cognitive effort but not automation surprise yet. Physiological data processing is currently underway. Several challenges are discussed concerning this implementation, including the elicitation of the target cognitive states, the synchronization of all the devices and the need for repeated measures.