Head Mounted Displays (HMDs) have become popular within the research community for use in acoustic experiments, such as perceptual evaluation of virtual spatial audio or Head Related Transfer Function (HRTF) measurement processes. However, wearing an HMD while listening to sounds can interfere with the acoustic waveform that reaches the listener’s ears, modifying the audio signals. In this work, we study the effect of HMDs on individualized HRTF, comparing the individualized HRTFs distorted by the HMD with a generic HRTF. We have collected acoustic HRTF measurements, with and without the HMD, for 24 human participants and a manikin head, over 612 directions (including different azimuths and elevations). An objective evaluation indicates that although there are frequency-dependent directional regions where the distortion caused by the HMD is higher, many of the individualized HRTF characteristics are preserved. A MUSHRA test with 15 subjects compares individualized HRTFs and a generic HRTF, both with and without the HMD, for certain directions. The perceptual evaluation reveals a significant perceptual effect of the HMD on the measured individualized HRTF, but it also shows that this effect is significantly smaller than the difference between individualized HRTFs and generic HRTF, as indicated by the objective evaluation.