Background and Objectives: Cardiovascular disease (CVD) has become increasingly prevalent in women, and it is also in this group that the risk of developing depression is the highest. The most commonly applied therapeutic intervention in cardiac rehabilitation is Schultz’s autogenic training, which has proven to be of little efficacy in reducing depression and anxiety disorders. At the same time, a growing number of scientific reports have been looking at the use of virtual reality (VR) to treat mental health problems. This study aimed at assessing the efficacy of virtual therapy in reducing levels of depression, anxiety, and stress in female CVD patients. Materials and Methods: The study included 43 women who were randomly divided into two groups: experimental group (N = 17), where eight-week cardiac rehabilitation was enhanced with VR-based therapeutic sessions, and control group (N = 26), where the VR therapy was replaced with Schultz’s autogenic training. Mental state parameters were measured using the Perception of Stress Questionnaire and Hospital Anxiety and Depression Scale (HADS). Results: In the experimental group, the sole parameter which failed to improve was HADS-Anxiety, which remained at the baseline level. In the control group, there was a deterioration in nearly all tested parameters except for HADS-Depression. Statistically significant differences in the efficacy of rehabilitation were recorded in relation to the level of stress in the sub-scales: emotional tension (p = 0.005), external stress (p = 0.012), intrapsychic stress (p = 0.023) and the generalized stress scale (p = 0.004). Conclusions: VR therapy is an efficient and interesting complement to cardiac rehabilitation, with proven efficacy in reducing stress levels.