Depression and anxiety can significantly reduce the effectiveness of cardiac rehabilitation (CR). Several studies have assessed the effectiveness of virtual reality (VR)-based interventions for symptoms of anxiety and depression; however, they do not relate to patients with heart disease. The aim of this study was to assess the effects of VR therapy on the mental state of patients with coronary artery disease (CAD). Thirty-four CAD patients with elevated anxiety or depression symptoms were recruited. After randomization, 17 participants were assigned to the intervention group, and 17 to the control group. Both groups underwent standard CR for outpatients. In the intervention group, eight VR therapy sessions were applied. In the control group, eight sessions of Schultz' Autogenic Training were applied. To assess patient mental states, Hospital Anxiety and Depression Scale (HADS) and Perception of Stress Questionnaire (PSQ) were used, before and after 4 weeks of CR. In the intervention group, a significant decrease in HADS score was observed (19.46 pretreatment vs. 15.73 post-treatment, p = 0.003), HADS-Anxiety subscale decreased by 16.0 percent (p = 0.01) and HADS-Depression by 23.0 percent (p = 0.003). Similarly, a significant decrease in PSQ was recorded at 12.8 percent (64.73 vs. 56.47, p = 0.03). In the control group, HADS and PSQ data did not change. VR therapy significantly reduced the severity of depressive symptoms, anxiety, and stress levels in CAD patients undergoing CR. Immersive VR therapy effectively supports the CR of individuals with anxiety-depressive symptoms. ClinicalTrials.gov (NCT04045977).