When an audience member becomes immersed, their attention shifts towards the media and story, and they allocate cognitive resources to represent events and characters. Here, we investigate whether it is possible to measure immersion using continuous behavioural and physiological measures. Using television and film clips, we validated dual-task reaction times, heart rate, and skin conductance against self-reported narrative engagement. We find that reaction times to a secondary task were strongly positively correlated with self-reported immersion: slower reaction times were indicative of greater immersion, particularly emotional engagement. Synchrony in heart rate across participants was associated with self-reported attentional and emotional engagement with the story, although we found no such relationship with skin conductance. These results establish both dual-task reaction times and heart rate as candidate measures for the real-time, continuous, assessment of audience immersion.