Here, we assess the usefulness of first-person methods for the study of embodiment during the rubber hand illusion (RHI). Participants observed a rubber hand being stroked synchronously and asynchronously with their concealed hand after which they made proprioceptive judgments about the location of their hand and completed a self-report questionnaire. A randomly selected cohort was further interviewed during the illusion and their transcripts analyzed using interpretative phenomenological analysis (IPA). Results showed that the IPA group experienced a more intense embodied experience during the RHI, measured by proprioceptive distortion and self-report. IPA revealed four main themes of embodied experience: recalibration of the body schema; violation of the body schema; multisensory integration; and illusory experience over time. The report of agency was a significant predictor of proprioceptive distortion. This study shows how first-person methodologies can be empirically rigorous and how the introspective interview provides a rich, detailed account of embodied experience.