Traditional education often struggles to account for the interplay between cognition, emotion, and physical expression, despite growing evidence that affective states impact learning and performance. This exploratory study investigates how immersive environments and emotional expression influence brain-body engagement during embodied activities, particularly contemporary dance improvisation. It employs a Mobile Brain-Body Imaging (MoBI) framework integrating Electroencephalography (EEG) and markerless biomechanics to provide a holistic understanding of psychophysiological engagement in immersive and emotion-driven contexts. Six young adults experienced in contemporary dance performed happiness and sadness improvisations in neutral and immersive visuo-auditory settings aligned with the assigned emotional state. EEG data was used to calculate indices of engagement, fatigue, and excitement, while upper and lower limb angular accelerations were computed from video-based pose estimation (Mediapipe). Immersive environments significantly increased neural engagement, reduced fatigue and enhanced excitement. Upper-limb angular acceleration, particularly the right elbow, increased in immersive conditions, while lower-limb activity decreased. Interestingly, sadness was associated with higher neural engagement and excitement, suggesting a more focused cognitive state despite less physical expressiveness. These findings demonstrate the potential of affordable MoBI systems to capture emotion-immersion dynamics in embodied expression, informing the design of emotionally adaptive learning and performance spaces responsive to learners' psychophysiological states, ultimately enhancing engagement and well-being.