Virtual reality is a powerful tool in human behaviour research. However, few studies compare its capacity to evoke the same emotional responses as in real scenarios. This study investigates psycho-physiological patterns evoked during the free exploration of an art museum and the museum virtualized through a 3D immersive virtual environment (IVE). An exploratory study involving 60 participants was performed, recording electroencephalographic and electrocardiographic signals using wearable devices. The real vs. virtual psychological comparison was performed using self-assessment emotional response tests, whereas the physiological comparison was performed through Support Vector Machine algorithms, endowed with an effective feature selection procedure for a set of state-of-the-art metrics quantifying cardiovascular and brain linear and nonlinear dynamics. We included an initial calibration phase, using standardized 2D and 360° emotional stimuli, to increase the accuracy of the model. The self-assessments of the physical and virtual museum support the use of IVEs in emotion research. The 2-class (high/low) system accuracy was 71.52% and 77.08% along the arousal and valence dimension, respectively, in the physical museum, and 75.00% and 71.08% in the virtual museum. The previously presented 360° stimuli contributed to increasing the accuracy in the virtual museum. Also, the real vs. virtual classifier accuracy was 95.27%, using only EEG mean phase coherency features, which demonstrates the high involvement of brain synchronization in emotional virtual reality processes. These findings provide an important contribution at a methodological level and to scientific knowledge, which will effectively guide future emotion elicitation and recognition systems using virtual reality.