In vivo exposure is a highly effective but rarely implemented treatment for agoraphobia. Most of the patients receive medication or cognitive therapy without exposure because of a high expenditure of money and time for in vivo exposure. Exposure in virtual reality (VR) is easier to implement but the effectiveness of stimulating fear compared to in vivo exposure is still questionable. Therefore, in this study, the effects of in vivo and VR exposure on subjective symptom burden and heart rate variability (HRV) were assessed. 30 healthy individuals with fears in narrow rooms went through in vivo and VR exposure in a randomized order while HRV parameters (RMSSD, HF) and subjective symptom burden was assessed. Linear mixed models were calculated. The effect of condition (VR vs. in vivo), scenario (varying conditions in narrow rooms) and slot (first 30 s, peak, last 30 s) on RMSSD and HF was assessed. A random effect for participants (random-intercept term) to allow the intercept to vary across participants was included. Regarding RMSSD and HF, participants showed significantly higher levels during in vivo exposure compared to exposure in VR (RMSSD: p = 0.005; HF: p < 0.001), reflecting a stronger activation of the parasympathetic nervous system during in vivo exposure or presumably higher stress levels during VR exposure. This study highlights the necessity of assessing subjective and objective parameters allowing the evaluation of the effectiveness of fear stimulation by exposure approaches.