Black Myth: Wukong, as a successful phenomenal game, reveals the complex psychological associations between immersive experience and reality escapism. This paper first introduces the psychological theories of immersive experience, exploring how modern game design enhances players' immersion through sensory stimulation, cognitive engagement, and emotional resonance. Using the game Black Myth: Wukong as an example, this paper analyzes how the game creates a highly immersive virtual world through meticulous visual and sound effects, complex narrative structures, and deep role-playing, effectively satisfying players' psychological needs. This paper then discusses how immersive experiences, as psychological sanctuaries, help players temporarily escape from real-life pressures and anxieties, while also potentially leading to psychological dependence and the deterioration of social functioning. Finally, this paper delves into the dual impact of immersive experience on individual mental health and societal culture, analyzing both their positive and negative effects, and offers suggestions for future game design and mental health interventions.