Understanding episodic memory formation of real-world events is essential for the investigation of human cognition. Most studies have stressed on delimiting the upper boundaries of this memory by using memorization tasks with conditional experimental paradigms, rather than the performance of everyday tasks. However, naturally occurring sensory stimuli are multimodal and dynamic. In an effort to investigate the encoding and retrieval of episodic memory under more naturalistic and ecological conditions, we here demonstrate a memory experiment that employs audio-visual movies as naturalistic stimuli. Electroencephalography measurements were used to analyze neural activations during memory formation. We found that oscillatory activities in the theta frequency bands on the left parietal lobe, and gamma frequency bands on the temporal lobes are related to overall memory formation. Theta and gamma power of the frontal lobes, and gamma power of the occipital lobes were both increased during retrieval tasks. Furthermore, subjects’ memory retrieval performance on the query task was used to clarify our experimental results. Correlation between behavioral differences and neural activation was observed in the same regions. Our results extend the previous results of neurocognitive studies on memory formation via naturalistic stimuli, neural oscillations, and behavioral analysis combined.