This thesis uses a controlled experimental design to assess the impact of different VR scenarios, this thesis explores the psychological, physiological and Neurophysiological effects of Virtual Reality (VR) on stress, anxiety, and brain activity. Participants were exposed to a nature-based environment with Respiration Rate (RR) biofeedback, a stress-inducing parkour video in a VR environment, and an anxiety-triggering experience, Richie's Plank. The study meticulously measured changes in stress and anxiety levels, cardiac and respiratory functions, and cerebral oxygenation patterns before and after VR exposure using biosensors and functional Near-Infrared Spectroscopy (fNIRS). Findings indicate that VR can significantly alter psychological and physiological states. Stress and anxiety levels increased markedly during the parkour and Richie's Plank experiences, as evidenced by both self-reported measures and biosensor data. Conversely, the biofeedback-enhanced VR forest environment did not significantly change stress or anxiety levels, suggesting its potential as a therapeutic tool for relaxation and stress management. Neurophysiological data corroborated these findings, with significant increases in respiration rates and alterations in the heart rate variability (HRV) during stress-inducing scenarios compared to the biofeedback scenario. Additionally, brain activity data revealed distinct patterns of cerebral oxygenation that varied significantly across the different VR interventions, illustrating the profound impact of VR environments on brain function. The comprehensive analysis of VR's impact on neurophysiology not only advances our understanding of its therapeutic potential but also highlights the importance of tailoring VR experiences to individual needs and conditions. This research underscores VR's capacity to significantly influence stress, anxiety, and neurophysiological responses, offering valuable insights for future applications in mental health and cognitive training.