This study investigates how the sense of embodiment in virtual environments can be enhanced by multisensory feedback related to body movements. In particular, we analyze the effect of combined vestibular and proprioceptive afferent signals on the perceived embodiment within an immersive walking scenario. These feedback signals were applied by means of a motion platform and by tendon vibration of lower limbs, evoking illusory leg movements. Vestibular and proprioceptive feedback were provided congruently with a rich virtual scenario reconstructing a real city, rendered on a head-mounted display (HMD). The sense of embodiment was evaluated through both self-reported questionnaires and physiological measurements in two experimental conditions: with all active sensory feedback (highly embodied condition), and with visual feedback only. Participants' self-reports show that the addition of both vestibular and proprioceptive feedback increases the sense of embodiment and the individual's feeling of presence associated with the walking experience. Furthermore, the embodiment condition significantly increased the measured galvanic skin response and respiration rate. The obtained results suggest that vestibular and proprioceptive feedback can improve the participant's sense of embodiment in the virtual experience.