Fibromyalgia (FM) is characterized by persistent widespread pain that severely impacts quality of life. Immersive virtual reality-based exercise (iVRE) is emerging as a therapeutic modality for chronic pain management. However, research on iVRE in FM patients has primarily focused on perceived pain intensity (PI), with limited exploration of underlying analgesic mechanisms. This study aims to explore the effects of iVRE on PI, considering risk of poor outcomes (RPO) stratification, and on mechanical pain sensitivity (MPS) in FM. A single-arm, uncontrolled, pre-post-test exploratory study was conducted in subjects with FM. The intervention included 2 weekly 15-min iVRE sessions for 6 weeks. PI (numeric rating scale [NRS]) and MPS (pressure pain thresholds [PPTs] at the upper trapezius, lumbar spine, and knee) were assessed at baseline, after the first session (to assess exercise-induced hypoalgesia), and postintervention. RPO was assessed using the Keele STarT MSK Tool. Eleven participants completed the study. No adverse effects were reported. Clinically important reductions were observed in PI (mean difference [MD]: −2.36, 95% CI: [−4.15, −0.58], d = 0.89; p < 0.05) with this effect being associated with baseline RPO. No observable changes were found in PPTs (all 95% CIs included 0, p > 0.05). In this sample, iVRE appears to reduce PI but not PPTs, suggesting the persistence of MPS and limitations in activating endogenous pain inhibitory mechanisms. Further randomized controlled trials with larger samples are needed to corroborate these results.