Immersive virtual reality (VR) enables naturalistic neuroscientific studies while maintaining experimental control, but dynamic and interactive stimuli pose methodological challenges. We here probed the link between emotional arousal, a fundamental property of affective experience, and parieto-occipital alpha power under naturalistic stimulation: 37 young healthy adults completed an immersive VR experience, which included rollercoaster rides, while their EEG was recorded. They then continuously rated their subjective emotional arousal while viewing a replay of their experience. The association between emotional arousal and parieto-occipital alpha power was tested and confirmed by (1) decomposing the continuous EEG signal while maximizing the comodulation between alpha power and arousal ratings and by (2) decoding periods of high and low arousal with discriminative common spatial patterns and a long short-term memory recurrent neural network. We successfully combine EEG and a naturalistic immersive VR experience to extend previous findings on the neurophysiology of emotional arousal towards real-world neuroscience.