Most studies on emotion processing induce emotions through images or films. However, this method lacks ecological validity, limiting generalization to real-life emotion processing. More realistic paradigms using virtual reality (VR) may be better suited to investigate authentic emotional states and their neuronal correlates. This pre-registered study examines the neuronal underpinnings of naturalistic fear, measured using mobile electroencephalography (EEG). Seventy-five healthy participants walked across a virtual plank which extended from the side of a skyscraper—either 80 storeys up (the negative condition) or at street level (the neutral condition). Subjective ratings showed that the negative condition induced feelings of fear. Following the VR experience, participants passively viewed negative and neutral images from the international affective picture system (IAPS) outside of VR. We compared frontal alpha asymmetry between the plank and IAPS task and across valence of the conditions. Asymmetry indices in the plank task revealed greater right-hemispheric lateralization during the negative VR condition, relative to the neutral VR condition and to IAPS viewing. Within the IAPS task, no significant asymmetries were detected. In summary, our findings indicate that immersive technologies such as VR can advance emotion research by providing more ecologically valid ways to induce emotion.