Natural environment experiences in virtual reality (VR) can be a feasible option for people unable to connect with real nature. Existing research mostly focuses on health and emotional advantages of the “virtual nature” therapy, but studies of its neuropsychological effects related to visual perception are rare. In our experiment, 20 subjects watched nature-related video content in VR headsets (3D condition) and on a computer screen (2D condition). In addition to the gender factor, we considered the individual Environmental Identity Index (EID) and collected the self-assessment of the emotional state per the components of Valence, Arousal, and Dominance in each experimental condition. Besides the psychometric data, we also registered brainwave activity (EEG) and analyzed it with the 7 frequency bands. For EID, which was considerably higher in women, we found significant positive correlation with Valence (i.e., beneficial effect of the natural stimuli on the psycho-emotional status). At the same time, the analysis of the EEG data suggests a considerable impact of the VR immersion itself, with higher relaxation alpha effect in 3D vs. 2D condition in men. The novel and most pronounced effect of the gender factor was found in the relation between the EID and the EEG powers in the high-frequency bands—that is, positive correlation of these variables in women (0.64 < Rs < 0.74) but negative correlation in men (−0.66 < Rs < −0.72). Our results imply individually different and gender-dependent effects of the natural stimulus in VR. Correspondingly, the video and VR content development should consider this and aim to provide a user characteristics-tailored experience.