Sympathovagal modulation during immersion in a virtual environment is an important influence on human performance of a task. The aim of this study is to investigate sympathovagal modulation using heart rate variability and perceived exertion during exercise in a virtual reality (VR) environment. Sixteen young healthy volunteers were tested while using a stationary bicycle and maintained at an anaerobic threshold intensity for exercise sessions of approximately 10 min duration. Four randomized viewing alternatives were provided including desktop monitor, projector, head mounted device (HMD), and no simulation display. The “no simulation display” served as the control group. A quick ramp exercise test was conducted and maintained at an anaerobic threshold intensity for each session to evaluate power spectral density and rating of perceived exertion (RPE). The sampled heart rate data were rearranged by cubic spline interpolation into power spectrums spanning the ultra-low frequency (ULF) to high frequency (HF) range. A significant difference was found between the no-display and projector groups for total power (TP) and very low frequency (VLF) components. In particular, there was a significant difference when comparing HMD and no-display exercise RPE curves within 6 min of cycling and at the termination of the exercise. A significant difference was also achieved in projector vs. control group comparison at the termination of the exercise. Our results indicate that the use of HMD and the projected VR during cycling can reduce the TP and VLF power spectral density through a proposed decrease in the renin-angiotensin system, with the implication that this humoral effect may enable anaerobic exercise for longer durations through a reduction in sympathetic tone and subsequent increased blood flow to the muscles.