Anxiety has been estimated to occur in 21-96% and depression in 27-79% of patients with chronic obstructive pulmonary disorder (COPD). We found a scarcity of literature providing evidence on how virtual reality (VR) therapy affects the intensity of depressive and anxiety symptoms and stress levels in COPD patients undergoing in-hospital pulmonary rehabilitation (PR). This study enrolled 50 COPD patients with symptoms of stress, depression, and anxiety, randomly assigned to one of two groups. The two groups participated in the traditional PR programme additionally: the VR-group performed 10 sessions of immersive VR-therapy and the control group performed 10 sessions of Schultz autogenic training. Comparison of the changes in stress levels and depressive and anxiety symptoms was the primary outcome. Analysis of the results showed a reduction in stress levels only in the VR-group (p < 0.0069), with a medium effect size (d = 0.353). The symptoms of depression (p < 0.001, d = 0.836) and anxiety (p < 0.0009, d = 0.631) were statistically significantly reduced only in the VR-group, with a strong effect size. The enrichment of pulmonary rehabilitation with immersive VR therapy brings benefits in terms of mood improvement and reduction in anxiety and stress in patients with COPD.