Both virtual reality (VR) and exercise reduce pain while avoiding the risks of traditional pharmacotherapy. The aim of this study was to assess how VR-facilitated exercise modulates sympathetic activity and pain perception. Healthy adult volunteers were randomized by hand dominance and then subjected to a standardized cold pressor test while experiencing a VR application. After a 5-minute washout, participants were crossed-over and repeated the test on their other hand while undergoing a VR-facilitated exercise application. Sympathetic activation, pain sensation, and pain tolerance data were collected identically during both conditions. 110 participants were analyzed. Sympathetic activity increased in both conditions but was higher in the VR-facilitated exercise condition (p < 0.0001). Pain sensation scores were initially higher with VR-facilitated exercise but dropped below the VR-only condition by the end of the intervention (p = 0.0175). There were no differences in pain tolerance between conditions (p = 0.18). The decrease in pain perception with VR-facilitated exercise condition compared to VR alone indicates VR-facilitated exercise can be a useful tool for managing pain. Though this effect did not translate into higher pain tolerance, VR-facilitated exercise may be a useful intervention in the setting of physical therapy or for patients with chronic pain.