To enable virtual reality exposure therapy (VRET) that treats anxiety disorders by gradually exposing the patient to fear using virtual reality (VR), it is important to monitor the patient’s fear levels during the exposure. Despite the evidence of a fear circuit in the brain as reflected by functional near-infrared spectroscopy (fNIRS), the measurement of fear response in highly immersive VR using fNIRS is limited, especially in combination with a head-mounted display (HMD). In particular, it is unclear to what extent fNIRS can differentiate users with and without anxiety disorders and detect fear response in a highly ecological setting using an HMD. In this study, we investigated fNIRS signals captured from participants with and without a fear of height response. To examine the extent to which fNIRS signals of both groups differ, we conducted an experiment during which participants with moderate fear of heights and participants without it were exposed to VR scenarios involving heights and no heights. The between-group statistical analysis shows that the fNIRS data of the control group and the experimental group are significantly different only in the channel located close to right frontotemporal lobe, where the grand average oxygenated hemoglobin Δ[HbO] contrast signal of the experimental group exceeds that of the control group. The within-group statistical analysis shows significant differences between the grand average Δ[HbO] contrast values during fear responses and those during no-fear responses, where the Δ[HbO] contrast values of the fear responses were significantly higher than those of the no-fear responses in the channels located towards the frontal part of the prefrontal cortex. Also, the channel located close to frontocentral lobe was found to show significant difference for the grand average deoxygenated hemoglobin contrast signals. Support vector machine-based classifier could detect fear responses at an accuracy up to 70% and 74% in subject-dependent and subject-independent classifications, respectively. The results demonstrate that cortical hemodynamic responses of a control group and an experimental group are different to a considerable extent, exhibiting the feasibility and ecological validity of the combination of VR-HMD and fNIRS to elicit and detect fear responses. This research thus paves a way toward the a brain-computer interface to effectively manipulate and control VRET.