How do people distribute their visual attention in the natural environment? We and our colleagues have usually addressed this question by showing pictures, photographs or videos of natural scenes under controlled conditions and recording participants' eye movements as they view them. In the present study, we investigated whether people distribute their gaze in the same way when they are immersed and moving in the world compared to when they view video clips taken from the perspective of a walker. Participants wore a mobile eye tracker while walking to buy a coffee, a trip that required a short walk outdoors through the university campus. They subsequently watched first-person videos of the walk in the lab. Our results focused on where people directed their eyes and their head, what objects were gazed at and when attention-grabbing items were selected. Eye movements were more centralised in the real world, and locations around the horizon were selected with head movements. Other pedestrians, the path, and objects in the distance were looked at often in both the lab and the real world. However, there were some subtle differences in how and when these items were selected. For example, pedestrians close to the walker were fixated more often when viewed on video than in the real world. These results provide a crucial test of the relationship between real behaviour and eye movements measured in the lab.