Recent advancements in immersive virtual reality head-mounted displays allowed users to better engage with simulated graphical environments. Having the screen egocentrically stabilized in a way such that the users may freely rotate their heads to observe virtual surroundings, head-mounted displays present virtual scenarios with rich immersion. With such an enhanced degree of freedom, immersive virtual reality displays have also been integrated with electroencephalograms, which make it possible to study and utilize brain signals non-invasively, to analyze and apply their capabilities. In this review, we introduce recent progress that utilized immersive head-mounted displays along with electroencephalograms across various fields, focusing on the purposes and experimental designs of their studies. The paper also highlights the effects of using immersive virtual reality discovered through the electroencephalogram analysis and discusses existing limitations, current trends as well as future research opportunities that may hopefully act as a useful source of information for further improvement of electroencephalogram-based immersive virtual reality applications.