In the context of human–computer interaction (HCI), understanding user engagement (UE) while interacting with a product or service can provide valuable information for enhancing the design process. UE has been a priority research theme within HCI, as it assesses the user experience by studying the individual’s behavioral response to some stimulus. Many studies looking to quantify the UE are available; however, most use self-report methods that rely only on participants’ answers. This study aims to explore a non-traditional method, specifically electroencephalography, to analyze users’ engagement while interacting with an advergame, an interactive form of advertising in video games. We aim to understand if a more interactive type of advertising will enhance the UE and whether, at the same time, it would influence the user’s purchase intention (UPI). To do this, we computed and compared the UE during the interaction with an advergame and a conventional TV commercial while measuring the participants’ brain activity. After the interaction with both types of advertising, the UPI was also evaluated. The findings demonstrate that a more interactive advertisement increased the participants’ UE and that, in most cases, a UE increment positively influenced the UPI. This study shows an example of the potential of physiological feedback applications to explore the users’ perceptions during and after the human–product interaction. The findings show how physiological methods can be used along with traditional ones for enhancing the UE analysis and provide helpful information about the advantages of engagement measurement in HCI applications.