This study explores players’ fright reactions and coping strategies in an immersive virtual reality (VR) horror game. Based on Slater’s theory of virtual reality, two dimensions of fear elements in the VR game−the fear of place illusion (PI) and the plausibility illusion (PSI) −were identified by playing a virtual reality survival horror game with a sample of 145 students. Participants reported greater fear toward PSI elements than toward PI elements. Fear of PSI elements positively and strongly predicted disengagement coping strategies and overall fear. Among coping strategies, players mainly adopted approach strategies, followed by avoidance (disengagement and denial), and self-help strategies. A “self-talk” strategy, newly identified in this study, has been reported as an effective means to cope with mediated threat in VR games. Regarding individual differences, sensation seeking and neuroticism influenced participants’ coping strategies and fear. Additionally, males and females employed different coping strategies. Very few students experienced next-day fright, which consists mostly of cognitive reactions and VR-related reactions, such as the Tetris effect and the fear of being attacked from the back. Theoretical frameworks regarding fear elements and coping reactions are proposed to aid future research. Implications for academia, fear conditioning for training, and marketing campaigns are discussed.