Vision is the primary sense humans use to evaluate and respond to threats. Understanding the biological underpinnings of the human threat response has been hindered by lack of realistic in-lab threat paradigms. We established an immersive virtual reality (VR) platform to simultaneously measure behavior, physiological state, and neural activity from the human brain using chronically implanted electrodes. Subjects with high anxiety showed increased visual scanning in response to threats as compared to healthy controls. In both healthy and anxious subjects, the amount of scanning behavior correlated with the magnitude of physiological arousal, suggesting that visual scanning behavior is directly linked to internal state. Intracranial electroencephalography (iEEG) recordings from three subjects suggested that high-frequency gamma activity in the insula positively correlates with physiological arousal induced by visual threats and that low-frequency theta activity in the orbitofrontal cortex (OFC) negatively correlates with physiological arousal induced by visual threats. These findings reveal a key role of eye movements and suggest that distinct insula and OFC activation dynamics may be important for detecting and adjusting human stress in response to visually perceived threats.