Nowadays studies using Virtual Reality (VR) are gaining high popularity due to VR being a better approximation of the ecological environment for visual experiments than standard 2D display settings. VR technology has been already applied in medicine in the therapy of mental disorders, neurorehabilitation, and neurofeedback. However, its effectiveness compared to the standard 2D procedure is still not fully documented and limited information about the neurophysiological underpinnings of VR is provided. In this study, we tested participants' performance during several sessions of the computer game in two different environments, VR vs. 2D monitor display. Participants performed three 25 min gaming sessions of adapted Delay Match-To-Sample task during EEG recording. The results showed that the VR group outperformed the 2D display group in the first session and then maintained its performance level throughout the remaining two sessions while the 2D group increased performance in each session eventually leveling up in the last one. Also group differences in the EEG activity were most profound only in the first session. In this session, the VR group was characterized by stronger and more synchronized neuronal activity, especially in delta, theta, and gamma bands. The VR group was less impacted by visual arousals as indicated by the theta/beta2 ratio in parietal electrodes.