(1) Background: Patients diagnosed with chronic pain suffer from long-term pain, which negatively affects their daily lives and mental health. Virtual reality (VR) technologies are considered a therapeutic tool to manage pain perception and mental health conditions. This systematic review aimed to appraise the efficacy of VR in improving pain intensity, anxiety, depression and mood among patients with chronic pain; (2) Methods: Five electronic databases were systematically searched using the terms representing VR and chronic pain. Quality assessment was conducted using Cochrane Collaboration’s tool and Newcastle-Ottawa scale; (3) Results: Seventeen peer-reviewed articles were included in this review. It was found that VR was able to reduce pain intensity in patients with phantom limb pain, chronic headache, chronic neck pain and chronic low-back pain. The effects of VR on the improvement of anxiety, depression and mood were not determined due to the inadequate amount of clinical evidence; (4) Conclusions: VR, especially immersive VR, improves pain outcomes and its effects may vary depending on the approach and study design. More research is still needed to investigate the clinical use of VR in patients with chronic pain.