We demonstrate by using simulations that spatial embedding of single-variable time series data does not reliably reconstruct state-space dynamics. Instead, correlation dimension estimated from spatially embedded data is largely a measure of linear cross-correlation in the data set. For actual electroencephalographic (EEG) data, we demonstrate a high negative correlation between spatial correlation dimension and the average amount of lag-zero cross-correlation between “nearest-neighbor” embedding channels (the greater the cross-correlation, the lower the dimension). We also show that the essential results obtained from spatially embedding EEG data are also obtained when one spatially embeds across a set of highly cross-correlated stochastic (second-order autoregressive) processes. Although, with appropriate surrogate data, correlation dimension estimated from spatially embedded data detects nonlinearity, its use is not recommended because correlation dimension estimated from temporally embedded data both reconstructs state-space dynamics and, with appropriate surrogate data, detects nonlinearity as well.