We are not only passively immersed in a sensorial world, but we are active agents that directly produce stimulations. Understanding what is unique about sensory consequences can give valuable insight into the action-perception-cycle. Sensory attenuation is the phenomenon that self-produced stimulations are perceived as less intense compared to externally-generated ones. Studying this phenomenon, however, requires considering a plethora of factors that could otherwise interfere with its interpretation, such as differences in stimulus properties, attentional resources, or temporal predictability. We therefore developed a novel Virtual Reality (VR) setup which allows control over several of these confounding factors. Furthermore, we modulated the expectation of receiving a somatosensory stimulation across self-production and passive perception through a simple probabilistic learning task, allowing us to test to what extent the electrophysiological correlates of sensory attenuation are impacted by stimulus expectation. Therefore, the aim of the present study was twofold: first we aimed validating a novel VR paradigm during electroencephalography (EEG) recoding to investigate sensory attenuation in a highly controlled setup; second, we tested whether electrophysiological differences between self- and externally-generated sensations could be better explained by stimulus predictability factors, corroborating the validity of sensory attenuation. Results of 26 participants indicate that early (P100), mid-latency (P200) and later negative contralateral potentials were significantly attenuated by self-generated sensations, independent of the stimulus expectation. Moreover, a component around 200 ms post-stimulus at frontal sites was found to be enhanced for self-produced stimuli. The P300 was influenced by stimulus expectation, regardless of whether the stimulation was actively produced or passively attended. Together, our results demonstrate that VR opens up new possibilities to study sensory attenuation in more ecological valid yet well-controlled paradigms, and that sensory attenuation is not significantly modulated by stimulus predictability, suggesting that sensory attenuation relies on motor-specific predictions about their sensory outcomes. This not only supports the phenomenon of sensory attenuation, but is also consistent with previous research and the concept that action actually plays a crucial role in perception.