Advertising uses sounds and dynamic images to provide visual, auditory, and tactile experiences, and to make the audience feel like the protagonist. During COVID-19, companies modified their communication by including pandemic references, but without penalizing multisensorial advertising. This study investigated how dynamic and emotional COVID-19-related advertising affects consumer cognitive and emotional responses. Nineteen participants, divided into two groups, watched three COVID-19-related and three non-COVID-19-related advertisements in two different orders (Order 1: COVID-19 and non-COVID-19; Order 2: non-COVID-19 and COVID-19), while electrophysiological data were collected. EEG showed theta activation in frontal and temporo-central areas when comparing Order 2 to Order 1, interpreted as cognitive control over salient emotional stimuli. An increase in alpha activity in parieto-occipital area was found in Order 2 compared to Order 1, suggesting an index of cognitive engagement. Higher beta activity in frontal area was observed for COVID-19 stimuli in Order 1 compared to Order 2, which can be defined as an indicator of high cognitive impact. Order 1 showed a greater beta activation in parieto-occipital area for non-COVID-19 stimuli compared to Order 2, as an index of reaction for painful images. This work suggests that order of exposure, more than advertising content, affects electrophysiological consumer responses, leading to a primacy effect.