Magnetic Resonance Imaging (MRI) examinations are frequently associated with significant anxiety and phobias in patients, negatively impacting imaging quality and patient compliance. In this study, we explore the use of Virtual Reality Exposure Therapy (VRET) to reduce MRI-related anxiety by examining physiological and subjective responses across three virtual scenarios: a 2D video, a 360° video, and a fully immersive VR environment. The study aimed to determine how different levels of immersion and the order in which scenarios are experienced impact anxiety. Thirteen participants engaged in all three scenarios, with heart rate (HR), skin temperature (SKT), and electrodermal activity (EDA) monitored, and self-reported anxiety assessments collected before, during, and after the study. Results showed no significant differences in average or maximum heart rates between the three scenarios. However, the fully immersive VR environment generally elicited higher HR peaks, higher EDA, and lower SKT, suggesting stronger physiological responses in some participants. Self-reported anxiety decreased after the VR experience, particularly for participants with moderate to high anxiety levels prior to the sessions, independent of the scenario order. These findings suggest that individual responses to VRET vary, emphasizing the need for personalized approaches rather than a one-size-fits-all solution. While larger studies are necessary to validate these outcomes, the results suggest that incorporating real-time biofeedback monitoring in VRET could allow for dynamic adjustments to exposure levels based on participants’ physiological responses, creating a more adaptive and therapeutic environment.