In recent years, there has been a growing interest in the potential of virtual reality (VR) as a powerful tool for storytelling and as a means of promoting empathy. This systematic review examines 20 research papers that were deemed relevant based on inclusion and exclusion criteria from a database of a total of 661 papers to investigate the use of VR for empathy-building through immersive storytelling. Thematic analysis of the interventions revealed that most of the narratives focused on the experiences of victims of abuse, social minorities, and individuals affected by medical conditions or political ramifications. These fall under three types of digital narratives identified as (a) personal, (b) historical, and (c) educational. Changes in empathy are identified either through comparisons with non-VR narratives or pre- and post-interventions. Interaction techniques, VR affordances, and methods to measure empathy are further identified. The review concludes that while VR shows promise as a tool for promoting empathy, more research is needed to fully understand its potential and limitations.