We herein report an experimental study examining the potential positive effects of Virtual Reality (VR) feedback during an indoor bicycling exercise. Using a regular bike coupled to a VR system, we compared conditions of no VR feedback, VR feedback and VR feedback with the presence of a virtual coach, acting as a pacer. In VR feedback conditions, we observed a decreased level of perceived exertion and an increased level of enjoyment of physical activity, when compared to a regular exercise situation (no VR feedback). We also observed a shift in the subjects' attentional focus, from association (in the absence of VR feedback) to dissociation (in VR feedback conditions). Moreover, the presence of a virtual coach in the VR environment triggered a systematic regulation of the (virtual) displacement speed, whose relationship with perceived enjoyment and exertion require further work.