Enjoyment of frightening content is a paradoxical issue in communication research. Revising Zillmann’s model of suspense, we propose a three-factor model examining the audience appeal of horror content in a virtual reality (VR) survival horror game. In a laboratory study, participants played a VR horror game. The results show significant effects of the three-way interaction among horror self-efficacy, physiological arousal, and fear on enjoyment and future intentions to play similar games. Horror self-efficacy interacts with fear to affect enjoyment only among high-arousal participants. Among high-fear participants, higher horror self-efficacy leads to significantly greater enjoyment than lower horror self-efficacy. We measured enjoyment through self-reported ratings, future intentions to play similar games, and the behavioral choice of subsequent games to demonstrate the appeal of horror content. Horror self-efficacy in coping with mediated fright is the key to explaining the conditional positive association of fear and enjoyment in the gaming context.