The present study aimed at testing the general assumption that virtual reality can enhance the experience of exercising. More specifically, we tested the effects of sensory input (music and video feedback) during physical training on performance, enjoyment, and attentional focus by means of a computerized ergometer coupled with VR software. Twelve university students participated in the study. The experimental procedure consisted in a 2 × 3 × 4 mixed design, with two types of feedback (video feedback vs. video feedback and music), three course phases (e.g., flat, uphill, and downhill) and four sessions (task repetition). The virtual feedback was a video film of the course that participants had to complete. Video display speed was proportional to the participant's pedaling speed. Force feedback, applied to the real bicycle wheel, was proportional to the instantaneous course slope. The results showed a positive effect of task repetition on participants' performance only when video feedback was associated with listening to music. In an attempt to objectively assess attentional focus, we analyzed participants' gaze orientation. Gaze analysis showed a reduction in the time spent gazing at video feedback across sessions. Associating video feedback with freely chosen music led to a differential use of video feedback as a function of exercise intensity. Finally, sensory stimulation appeared to have a dissociative role on participants' attentional focus during exercise, but adding music listening to video feedback appears to be necessary to maintain (long term) the participants' commitment to the task. The results are discussed in terms of the functional status of sensory stimulation during exercise, and its interactions with exercise intensity, participants' performance, and attentional focus. They also suggest that gaze analysis is one promising way to access attention allocation and its relationships with performance.