Human brain mapping relies heavily on fMRI, ECoG and EEG, which capture different physiological signals. Relationships between these signals have been established in the context of specific tasks or during resting state, often using spatially confined concurrent recordings in animals. But it is not certain whether these correlations generalize to other contexts relevant for human cognitive neuroscience. Here, we address the case of complex naturalistic stimuli and ask two basic questions. First, how reliable are the responses evoked by a naturalistic audio-visual stimulus in each of these imaging methods, and second, how similar are stimulus-related responses across methods? To this end, we investigated a wide range of brain regions and frequency bands. We presented the same movie clip twice to three different cohorts of subjects (NEEG = 45, NfMRI = 11, NECoG = 5) and assessed stimulus-driven correlations across viewings and between imaging methods, thereby ruling out task-irrelevant confounds. All three imaging methods had similar repeat-reliability across viewings when fMRI and EEG data were averaged across subjects, highlighting the potential to achieve large signal-to-noise ratio by leveraging large sample sizes. The fMRI signal correlated positively with high-frequency ECoG power across multiple task-related cortical structures but positively with low-frequency EEG and ECoG power. In contrast to previous studies, these correlations were as strong for low-frequency as for high frequency ECoG. We also observed links between fMRI and infra-slow EEG voltage fluctuations. These results extend previous findings to the case of natural stimulus processing.