New technologies, particularly in recent years, are revolutionizing the way the world of cultural heritage, as well as museum and exhibition spaces, is understood. In this context, virtual reality (VR), in particular, is seen as a valuable tool to enrich and enhance traditional visits, using virtual elements to make visitors’ experiences more engaging and interactive. Furthermore, as arousing emotions is a fundamental aspect in the creation of museum itineraries, VR techniques are flanked by physiological techniques such as electroencephalography (EEG) that allow for a comprehensive analysis of visitors’ feelings. Using EEG-based indicators, this paper aims to analyze the emotional state of a sample of visitors engaged in a first physical, then virtual experience. Interaction, in this case, took place with five specially chosen objects belonging to the collection of the museum of handicrafts of Valle d’Aosta region in order to classify the different levels of involvement. The results suggest that EEG analysis contributed significantly to the understanding of emotional and cognitive processes in traditional and immersive experiences, highlighting the potential of VR technologies in enhancing participants’ cognitive engagement.