This study attempted to investigate the role of presence in an anxiety-inducing virtual reality (VR) experience and explain possible individual differences in the feeling of presence. More specifically, it was investigated if the feeling of presence (a) differed by personality and (b) affected individual levels of anxiety. This study utilized the psychobiological model of the Temperament and Character Inventory (TCI) to study personality in the context of virtual reality exposure therapy (VRET). In total, thirty six individuals participated in a lab experiment in which anxiety-inducing VR content was experienced through a head-mounted display. The results suggested that individuals with high levels of cooperativeness and self-transcendence experienced increased levels of presence, which further enhanced cognitive anxiety levels. On a physiological level, cooperativeness and reward dependence enhanced somatic anxiety (respiration), but presence was not a significant mediating factor.