Stories play a fundamental role in human culture. They provide a mechanism for sharing cultural identity, imparting knowledge, revealing beliefs, reinforcing social bonds and providing entertainment that is central to all human societies. Here we investigated the extent to which the delivery medium of a story (audio or visual) affected self-reported and physiologically measured engagement with the narrative. Although participants self-reported greater involvement for watching video relative to listening to auditory scenes, stronger physiological responses were recorded for auditory stories. Sensors placed at their wrists showed higher and more variable heart rates, greater electrodermal activity, and even higher body temperatures. We interpret these findings as evidence that the stories were more cognitively and emotionally engaging at a physiological level when presented in an auditory format. This may be because listening to a story, rather than watching a video, is a more active process of co-creation, and that this imaginative process in the listener's mind is detectable on the skin at their wrist.