Why do fiction makers spend much time and money inventing imaginary worlds? Why are fictions with such imaginary worlds so successful? Current views in cultural evolution do not explain this massive cultural phenomenon. We argue that imaginary worlds tap into exploratory preferences which have evolved in a wide range of species to propel individuals toward new environments. After reviewing research on exploratory behaviors and preferences, we argue that this hypothesis explains the way imaginary worlds evolved culturally, their recent striking success, their shape and their distribution across time and populations.