The built environment is a ubiquitous factor of modern human life, which fundamentally affects human wellbeing. Most existing research on the psychological effects of urban environments is predominantly based on subjective self-report measures, which provide valuable insights into subjective experiences, but are also affected by conscious and subconscious bias. In the current study, we evaluate a multimodal approach to capturing wellbeing by employing objective mobile physiological and neurophysiological measurement technologies alongside self-reports to capture the impact of two different urban environments. Moreover, we endeavoured to comprehensively measure and, when possible, control the physical aspects of the environment. Our study specifically aimed to discover differences between psychological wellbeing indicators in adults across low-density vs. moderate-density urban environments. Data collection took place in two urban outdoor locations in Australia. Statistical comparison of the two locations indicated that low urban density led to comparatively higher levels of psychological wellbeing compared to moderate urban density. Self-reports indicated that the low-density environment led to higher levels of subjective feelings of comfort and safety and reduced levels of negative mood. In line with the subjective reports, in the low-density environment compared to the moderate-density environment, individuals showed higher levels of EEG theta activity, while EEG beta and heart rate measures were lower. The research outcome provides insights into how urban density affects people's wellbeing and showcases the benefits of employing ecologically-valid multimodal psychological-environmental measurement approaches to effectively evaluate the psychological impacts of built environments.