An individual's affective (i.e. emotional) response to exercise may play an important role in post-exercise eating behaviour for some individuals. Taking advantage of advances in fully immersive virtual reality (VR) technology, this study aimed to: a) examine whether VR exergaming can improve the psychological response to exercise in inactive adults, and b) assess the extent to which this improvement reduces post-exercise appetite and eating behaviour. In a cross-over study, 34 adults not meeting the World Health Organisation's physical activity recommendations completed two exercise sessions on a stationary bike; one while engaging in a VR exergame and one without VR. Monitoring enabled heart rate, energy expenditure, and duration across conditions to be closely matched. The Physical Activity Enjoyment Scale, Feeling Scale, Felt Arousal Scale and Borg's Ratings of Perceived Exertion were measured to capture the affective responses to exercise. Appetite and eating behaviour were evaluated using visual-analogue scales, a computerised food preference task, and intake at a post-exercise buffet meal. Cycling in VR elicited greater exercise enjoyment (p < 0.001, η2p = 0.62), pleasure (p < 0.001, η2p = 0.47), and activation (p < 0.001, η2p = 0.55). VR exergaming did not alter perceived physical exertion (p = 0.64), perceived appetite (p = 0.68), and preference for energy dense (p = 0.78) or sweet/savoury foods (p = 0.90) compared to standard exercise. However, it did result in a mean 12% reduction in post-exercise food intake (mean difference: 105.9 kcal; p < 0.01; η2p = 0.20) and a decrease in relative food intake (p < 0.01; η2p = 0.20), although inter-individual differences in response to VR exergaming were observed. The integration of VR in a cycling workout improves the affective experience of physical activity for inactive adults and reduces subsequent food intake. Virtual reality technology shows potential as an adjunct tool to support adults in weight management programmes become more active, especially for those individuals who are prone to eat in excess after physical activity.