Increasingly, urban planners are adopting virtual reality (VR) in designing urban green spaces (UGS) to visualize landscape designs in immersive 3D. However, the psychological effect of green spaces from the experience in VR may differ from the actual experience in the real world. In this paper, we systematically reviewed studies in the literature that conducted experiments to investigate the psychological benefits of nature in both VR and the real world to study nature in VR anchored to nature in the real world. We separated these studies based on the type of VR setup used, specifically, 360-degree video or 3D virtual environment, and established a framework of commonly used standard questionnaires used to measure the perceived mental states. The most common questionnaires include Positive and Negative Affect Schedule (PANAS), Perceived Restorativeness Scale (PRS), and Restoration Outcome Scale (ROS). Although the results from studies that used 360-degree video were less clear, results from studies that used 3D virtual environments provided evidence that virtual nature is comparable to real-world nature and thus showed promise that UGS designs in VR can transfer into real-world designs to yield similar physiological effects.