High dynamic range (HDR) imaging has been attracting much attention as a technology that can provide immersive experience. Its ultimate goal is to provide better quality of experience (QoE) via enhanced contrast. In this paper, we analyze perceptual experience of tone-mapped HDR videos both explicitly by conducting a subjective questionnaire assessment and implicitly by using EEG and peripheral physiological signals. From the results of the subjective assessment, it is revealed that tone-mapped HDR videos are more interesting and more natural, and give better quality than low dynamic range (LDR) videos. Physiological signals were recorded during watching tone-mapped HDR and LDR videos, and classification systems are constructed to explore perceptual difference captured by the physiological signals. Significant difference in the physiological signals is observed between tone-mapped HDR and LDR videos in the classification under both a subject-dependent and a subject-independent scenarios. Also, significant difference in the signals between high versus low perceived contrast and overall quality is detected via classification under the subject-dependent scenario. Moreover, it is shown that features extracted from the gamma frequency band are effective for classification.