Nowadays, several strategies for treating neuropsychologic function loss in Parkinson’s disease (PD) have been proposed, such as physical activity performance and developing games to exercise the mind. However, few studies illustrate the incidence of these therapies in neuronal activity. This work aims to study the feasibility of a virtual reality-based program oriented to the cognitive functions’ rehabilitation of PD patients. For this, the study was divided into intervention with the program, acquisition of signals, data processing, and results analysis. The alpha and beta bands’ power behavior was determined by evaluating the electroencephalography (EEG) signals obtained during the execution of control tests and games of the “Hand Physics Lab” Software, from which five games related to attention, planning, and sequencing, concentration, and coordination were taken. Results showed the characteristic performance of the cerebral bands during resting states and activity states. In addition, it was determined that the beta band increased its activity in all the cerebral lobes in all the tested games (p-value < 0.05). On the contrary, just one game exhibited an adequate performance of the alpha band activity of the temporal and frontal lobes (p-value < 0.02). Furthermore, the visual attention and the capacity to process and interpret the information given by the surroundings was favored during the execution of trials (p-value < 0.05); thus, the efficacy of the virtual reality program to recover cognitive functions was verified. The study highlights implementing new technologies to rehabilitate people with neurodegenerative diseases.