Inter-brain synchrony occurs between individuals who feel connected socially, but how synchrony relates to felt connectedness under naturalistic social interaction has remained enigmatic. We hypothesized that inter-brain synchrony between naturally interacting individuals might be associated with the internalization of a social identity, a link between an individual's personal identity and the social group to which the individual belongs. A convenience sample of sixty participants were split into dyads and interacted naturalistically on a social task. Through mapping EEG oscillatory waveforms onto a conceptual model categorizing the formation of a social identity within a naturalistic conversation, greater inter-brain synchrony was observed in the emergent stage within the formation of a social identity compared to earlier stages, where a social identity was not present. We provide evidence for greater neural synchrony related to higher socio-psychological connectedness during the development of social identity under naturalistic social interaction.