Exposure to natural environments has positive psychological effects. These effects have been explained from an evolutionary perspective, emphasizing humans’ innate preference for natural stimuli. We tested whether top-down cognitive processes influence the psychophysiological effects of environments. The source of an ambiguous sound was attributed to either nature (waterfall) or industry (factory). The results suggested that the participants’ subjective experiences were more pleasant and relaxed when the sound was attributed to nature than to industry. The influence of source attribution was also reflected in physiological measures that were free of subjective biases. The power of the brain’s lower alpha band activity was stronger in the nature scenario than in the industry condition. The individuals’ nature connectedness moderated the influence of source attribution on theta band power and electrodermal activity. The results support an evolutionary-constructivist perspective which assumes that the individual’s meanings and associations modulate the innate bottom-up effects of nature exposure.