Imaginary worlds are extremely successful. The most popular fictions produced in the last few decades contain such a fictional world. They can be found in all fictional media, from novels (e.g., Lord of The Rings and Harry Potter) to films (e.g., Star Wars and Avatar), video games (e.g., The Legend of Zelda and Final Fantasy), graphic novels (e.g., One Piece and Naruto), and TV series (e.g., Star Trek and Game of Thrones), and they date as far back as ancient literature (e.g., the Cyclops Islands in The Odyssey, 850 BCE). Why such a success? Why so much attention devoted to non-existent worlds? In this paper, we propose that imaginary worlds co-opt our preferences for exploration, which have evolved in humans and nonhuman animals alike, to propel individuals toward new environments and new sources of reward. Humans would find imaginary worlds very attractive for the very same reasons, and under the same circumstances, as they are lured by unfamiliar environments in real life. After reviewing research on exploratory preferences in behavioral ecology, environmental esthetics, neuroscience, and evolutionary and developmental psychology, we focus on the sources of their variability across time and space, which we argue can account for the variability of the cultural preference for imaginary worlds. This hypothesis can, therefore, explain the way imaginary worlds evolved culturally, their shape and content, their recent striking success, and their distribution across time and populations.