Background: Virtual Reality (VR) is an emerging non-pharmacological treatment for anxiety in palliative care patients. Anxiety, a common symptom in this population, has a significant effect on living standards. The aim of this systematic review is to evaluate the effectiveness of VR interventions in reducing anxiety and improving quality of life in palliative care. Methods: The systematic review protocol was registered in PROSPERO (CRD42024517914). The comprehensive search was performed in nine databases, including PubMed, PsycINFO, and EMBASE, and included studies published up to 15 November 2024. RCTs, pilot studies, and feasibility trials involving adult palliative care patients in which VR interventions were used, were compared with standard care. Two reviewers independently extracted and assessed the quality of the data using the RoB 2 tool. Results: A total of 13 studies were considered eligible, with 333 participants aged 15 to 85 years old. In these experiments, anxiety decreased steadily, and in some cases mood and quality of life were improved significantly. The VR interventions ranged from guided nature walks to memory-training sessions. Sessions lasted between 5 and 30 min and ranged in duration from single sessions to daily use. Personalized and participatory VR-based content was particularly effective in alleviating anxiety. The heterogeneity of the study designs and VR protocols hampered meta-analysis, despite promising findings. Conclusions: VR has considerable potential as an adjunctive anxiety therapy for palliative care. The personalization and immersion that VR provides are psychologically unique and have the potential to lower anxiety and improve well-being. But standardizing intervention protocols and more studies are required to define the best VR strategies and evaluate outcomes over the long term. The article highlights the promise of VR as part of palliative care as a viable bio-psycho-socio-spiritual approach.