Physical and cognitive rehabilitation is deemed crucial to attenuate symptoms and to improve the quality of life in people with neurodegenerative disorders, such as Parkinson’s Disease. Among rehabilitation strategies, a novel and popular approach relies on exergaming: the patient performs a motor or cognitive task within an interactive videogame in a virtual environment. These strategies may widely benefit from being tailored to the patient’s needs and engagement patterns. In this pilot study, we investigated the ability of a low-cost BCI based on single-channel EEG to measure the user’s engagement during an exergame. As a first step, healthy subjects were recruited to assess the system’s capability to distinguish between (1) rest and gaming conditions and (2) gaming at different complexity levels, through Machine Learning supervised models. Both EEG and eye-blink features were employed. The results indicate the ability of the exergame to stimulate engagement and the capability of the supervised classification models to distinguish resting stage from game-play (accuracy > 95%). Finally, different clusters of subject responses throughout the game were identified, which could help define models of engagement trends. This result is a starting point in developing an effectively subject-tailored exergaming system.