Visual and auditory immersion influence sense of presence, and in some cases emotional response. However, these have previously been tested separately and it is unknown whether and how immersion influences experiences combining both, as found in musical multimedia. A within-participants experiment compared participants’ sense of presence (feeling of ‘being there’), and induced and perceived emotions, when experiencing a classical concert performance presented over headphones on a desktop PC (2D video with headlocked sound reproduction) or in virtual reality (VR) (head-mounted display presenting 360° video and reactive spatial sound reproduction). Emotion was measured by self-report questionnaires based on a three-dimensional model (pleasantness, tense arousal and energetic arousal) and presence was measured using four items (Sense of physical space, Engagement, Ecological Validity and Negative Effects). Participants experienced a significant increase in pleasantness and all dimensions of presence in VR compared to the desktop condition. Ratings of felt arousal and perceived emotions did not significantly differ between conditions. The “engagement” component of presence was positively correlated with emotion felt and perceived, whereas “ecological validity” and “sense of physical space” were related to emotions experienced in the desktop condition only. The role of presence should therefore be considered when investigating emotional responses to musical multimedia.