Immersive technologies in transport research are gaining popularity, allowing for data collection in a controlled dynamic setting. Nonetheless, their ecological validity is still to be established hence their use in mathematical modelling in a transport setting has been scarce. We aim to fill this gap by conducting a study of cycling behaviour where non-immersive and immersive presentation methods are used in a virtual reality setting. The results confirm our hypothesis that participants behave differently when shown a choice scenario in non-immersive and immersive settings. In particular, cycling in an immersive setting is characterised by a higher degree of engagement. We also captured neural activity during task performance. We focussed on oscillations in the alpha (α) band where we found increased suppression in this signal in response to the immersive condition relative to the non-immersive. These results complement the behavioural findings and indicate that immersive environments may increase levels of task-engagement.