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 continu- ous 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 pat- terns 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.