Virtual reality is a computer-generated simulation of a real or imaginary three-dimensional environment that has entered our lives, particularly for gaming. Lately, it has been permeating into many aspects of our everyday life, such as exercise. It is important to ascertain whether exercise in an immersive virtual reality environment can be accepted from employees and lead to positive outcomes for them. The aim of this exploratory study was to examine the acceptance, future adoption, interest/enjoyment and usability of an immersive virtual reality system for exercise training by office workers during breaks within their working hours. A total of 40 female employees participated in the study with a mean age of 42.58 years (SD 10.77). Participants were requested to complete two sequential 15-min dual task cycling sessions corresponding to two experimental conditions. The first, condition A, involved cycling in a virtual environment, wearing a virtual reality head mounted display, and responding to cognitive tasks by answering multiple choice questions—on a screen, using a joystick. The second, condition B, involved cycling on a static bicycle and simultaneously responding to cognitive tasks by answering multiple choice questions in a real environment. After completion of the two conditions, participants responded to a series of scales regarding each of the experimental conditions and to a semi-structured interview. The results showed that participants noted a significant preference for the immersive virtual reality exercise, condition A, compared to condition B (bike only); and their acceptance, interest/enjoyment, usability and intention for future use were high. The qualitative data showed increased intention for future use, feelings of control and presence and most of the participants did not encounter any difficulties or require extra help to understand the immersive virtual reality system. Overall, exercising during working hours with an immersive virtual reality exercise system was well perceived by office workers and applicable. However, the effects of the immersive virtual reality training system on physical and mental health and the employees’ adherence to the exercise program should be tested with a longer intervention program.