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The use of extended reality technologies in cultural heritage contexts raises questions about their effectiveness in enhancing emotional, cognitive, and experiential engagement with artworks, particularly when direct access to original pieces is limited. The aim of this study was to compare emotional, cognitive, and physiological responses elicited by different modes of art presentation and to evaluate their effectiveness relative to direct, in-person museum viewing as a benchmark condition. The study examined visitors’ responses to Caravaggio’s Adoration of the Shepherds through three digital presentation modalities: Virtual Reality (VR), Augmented Reality (AR), and life-sized screen projection (LSP). Seventy-one voluntary participants completed affective assessments (PANAS, SAM), physiological recordings (heart rate, electrodermal activity, oxygen saturation), and artwork evaluations of creativity, pleasantness, technique, and curiosity. Results indicated significant effects of presentation modality: VR tended to elicit the strongest engagement-related responses, including higher positive affect, greater physiological activation, and more favorable ratings of pleasantness and curiosity, whereas AR and LSP showed more variable patterns. Physiological indicators confirmed increased arousal during VR exposure, supporting its potential to evoke more intense affective involvement. These findings suggest that immersive technologies may complement direct museum encounters by fostering curiosity, emotional engagement, and visitor-centered exploration, thereby enriching cultural heritage experiences and informal learning opportunities. Specifically, significant effects of presentation modality were observed for positive affect (F(2,140) = 6.23, p < 0.01), happiness (F(2,140) = 6.78, p = 0.003), skin conductance (F(2,140) = 7.15, p = 0.002), heart rate (F(2,140) = 4.32, p = 0.017), pleasantness (F(2,140) = 9.64, p < 0.001), and curiosity (F(2,140) = 5.21, p = 0.008), with VR generally yielding the highest scores on these measures.