SQL conflicted with the FOREIGN KEY constraint

I am trying to run some update scripts on my database and I am getting the following error:

The ALTER TABLE statement conflicted with the FOREIGN KEY constraint "FK_UPSELL_DT_AMRNO_AFMKTG_REF". The conflict occurred in database "ECOMVER", table "dbo.AFFILIATE_MKTG_REF", column 'AMRNO'.

I am running the following script:

ALTER TABLE [dbo].[UPSELL_DATA]  WITH CHECK ADD 
        CONSTRAINT [FK_UPSELL_DT_AMRNO_AFMKTG_REF] FOREIGN KEY
        (
          [AMRNO]
        ) REFERENCES [dbo].[AFFILIATE_MKTG_REF] (
          [AMRNO]
        )
GO

AMRNO is a PK in table AFFILIATE_MKTG_REF.

Also, I tried to create the foreign key relation using the modify table option in SQL Management studio and I got the same error. I am not sure what I should be looking for?

Any suggestions would be greatly appreciated.