Background: Modern technologies are being applied to maintain and improve the functional performance of older adults. Fully immersive virtual reality (VR) combined with a scope of dual-task (DT) activities may effectively complement conventional physiotherapy programmes for seniors. The study aimed to compare the effectiveness of a fully immersive virtual reality (VR) environment combined with a scope of dual-task activities regarding balance in older women. Methods: Eighty women were recruited to the study protocol and, following randomisation, allocated to two equally sized groups, one pursuing conventional OTAGO exercises, the other one the VR-solutions-aided exercise programme combined with a scope of DT activities. Physiotherapy sessions spanned 6 weeks, each one lasting 60 min, three times a week, in both groups. Results: Homogeneity analysis of both study groups indicated no statistically significant differences at the first measurement point. After the intervention, both study groups achieved significantly improved scores on all tests. The VR + DT group obtained better results in dual-task gait and single-leg standing, whereas the greatest difference was observed during SLS CL (1.52 s vs. 2.33 s—difference 0.81 s 53.2% change, p = 0.001). The OTAGO group performed better in the TUG single-task gait (11.35 s vs. 12.60 s, p < 0.001) and in the Berg balance scale. Conclusions: The VR + DT training is effective in improving individual balance as well as in reducing fall risks. VR-assisted physiotherapy should complement conventional physiotherapy programmes (e.g., OTAGO). The benefits of applying VR solutions indicate that older women might well use this form of activity regularly under the guidance of a therapist or a family member.