Increasing evidence shows that virtual reality (VR) training is highly effective in cognitive and motor rehabilitation. Another modern form of training is cognitive–motor dual-task training (CMDT), which has been demonstrated to rapidly improve physical and cognitive functions in real environments. This study aims to test whether a VR-based CMDT protocol can be used for motor and cognitive skill enhancement in young, healthy subjects. For this aim, 24 university students participated in a randomized control trial. The experimental group participated in a 5-week virtual reality reaction training (VRRT), performing 30 min sessions once a week. The control group did not receive any training but was tested twice with the same measures and temporal distance as the experimental group. Before and after the intervention, motor, cognitive, and electrophysiological measures were assessed. The results showed that following VRRT, the response time for both physical and cognitive tests was improved by about 14% and 12%, respectively, while the control group did not show significant changes. Moreover, electrophysiological data revealed a significant increase in anticipatory motor readiness in premotor brain areas in the experimental group only; however, cognitive top–down control tended to be increased in prefrontal areas after VRRT. This training protocol in a VR modality seems to be as effective as other CMDT methodologies carried out in a real modality. Still, it has the advantages of being more flexible and more user-friendly compared to standard training. The VRRT’s efficacy on physical and cognitive functions indicates that virtual reality applications can be used by the young population, not only for entertainment purposes but also in the form of cognitive–motor training.