Objective: Research on methods of improving the affective experience of exercise remains limited, especially for low-active overweight adults. We investigated the effectiveness of a virtual-reality headset and headphones in improving affective responses over conventionally delivered audiovisual stimulation. Methods: Low-active, overweight adults (16 women, 5 men; age: 34.67 ± 9.62 years; body mass index: 28.56 ± 4.95 kg/m²; peak oxygen uptake for men: 29.14 ± 6.56 mL/kg/min, for women: 22.67 ± 4.52 mL/kg/min, mean ± SD) completed 15-min sessions of recumbent cycling at the ventilatory threshold: (a) high immersion (HI, virtual reality headset and headphones), (b) low immersion (LI, television screen and speakers), and (c) Control. During-exercise pleasure and post-exercise enjoyment were self-reported. Oxygenation of the right dorsolateral prefrontal cortex (dlPFC) was assessed with near infrared spectroscopy. Results: Higher pleasure was reported during HI than during LI and Control (Condition × Time interaction; p < 0.001, $η$p2 = 0.43). Participants who reported a preference for low exercise intensity showed higher dlPFC oxygenation during Control, but this difference diminished during LI and HI (Condition × Time × Preference interaction; p = 0.036, $η$p2 = 0.10). Conclusion: Compared with conventionally delivered audiovisual stimulation, using a virtual-reality headset strengthens the dissociative effect, further improving affective responses to exercise at the ventilatory threshold among overweight, low-active adults. Presumably by competing with interoceptive afferents at the level of sensory input, audiovisual stimulation may lessen reliance on cognitive efforts to attenuate declining affect, as indicated by lower right dlPFC activity, particularly among participants disinclined toward high exercise intensity.