Electroencephalography (EEG)-based brain–computer interfaces (BCIs) for motor rehabilitation aim to “close the loop” between attempted motor commands and sensory feedback by providing supplemental information when individuals successfully achieve specific brain patterns. Existing EEG-based BCIs use various displays to provide feedback, ranging from displays considered more immersive (e.g., head-mounted display virtual reality (HMD-VR)) to displays considered less immersive (e.g., computer screens). However, it is not clear whether more immersive displays improve neurofeedback performance and whether there are individual performance differences in HMD-VR versus screen-based neurofeedback. In this pilot study, we compared neurofeedback performance in HMD-VR versus a computer screen in 12 healthy individuals and examined whether individual differences on two measures (i.e., presence, embodiment) were related to neurofeedback performance in either environment. We found that, while participants’ performance on the BCI was similar between display conditions, the participants’ reported levels of embodiment were significantly different. Specifically, participants experienced higher levels of embodiment in HMD-VR compared to a computer screen. We further found that reported levels of embodiment positively correlated with neurofeedback performance only in HMD-VR. Overall, these preliminary results suggest that embodiment may relate to better performance on EEG-based BCIs and that HMD-VR may increase embodiment compared to computer screens.