In recent years, research on embodied cognition has inspired a number of studies on multimedia learning and instructional psychology. However, in contrast to traditional research on education and multimedia learning, studies on embodied learning (i.e., focusing on bodily action and perception in the context of education) in some cases pose new problems for the measurement of cognitive load. This review provides an overview over recent studies on embodied learning in which cognitive load was measured using surveys, behavioral data, or physiological measures. The different methods are assessed in terms of their success in finding differences of cognitive load in embodied learning scenarios. At the same time, we highlight the most important challenges for researchers aiming to include these measures into their study designs. The main issues we identified are: (1) Subjective measures must be appropriately phrased to be useful for embodied learning; (2) recent findings indicate potentials as well as problematic aspects of dual-task measures; (3) the use of physiological measures offers great potential, but may require mobile equipment in the context of embodied scenarios; (4) meta-cognitive measures can be useful extensions of cognitive load measurement for embodied learning.