Over the last years, the successful integration of virtual reality in distance education contexts has led to the development of various frameworks related to the virtual learning approaches. 3D virtual worlds are an integral part of the landscape of education and demonstrate novel learning possibilities that can open new directions in education. An important aspect of virtual worlds relates to the intelligent, embodied pedagogical agents that are employed to enhance the interaction with students and improve their overall learning experience. The proper design and integration of embodied pedagogical agents in virtual learning environments are highly desirable. Although virtual agents constitute a vital part of virtual environments, their exact impact needs are yet to be addressed and assessed. The aim of the present study is to thoroughly examine and deeply understand the effect that embodied pedagogical agents have on the learning experience of students as well as on their performance. We examine how students perceive the role of pedagogical agents as learning companions during specific game-based activities and the effect that their assistance has on students’ learning. A concrete experimental study was conducted in AVARES, a 3D virtual world educational environment that teaches the domain of environmental engineering and energy generation. The results of the study point out that embodied pedagogical agents can improve students’ learning experience, enhance their engagement with learning activities and, most of all, improve their knowledge construction and performance.