Background/Objectives: Virtual reality (VR) has been shown to reduce pain and anxiety in several specialties, but has not been investigated in the setting of steroid injections in rheumatology. We aimed to assess the impact of using a VR headset on pain and anxiety during epidural steroid injection via the sacral hiatus for lumbar radiculopathy. Methods: Patients received two injections via the sacral hiatus and were randomized into one of two groups: group 1 used the VR headset during the first injection and not during the second injection, while group 2 used the VR headset during the second injection but not the first. The primary endpoint was pain evaluated on a numeric rating scale. Secondary objectives were anxiety, measured using the STAI (State Trait Anxiety Inventory), and safety. These analyses were performed using the Mann–Whitney U test. Results: We included 116 patients over 18 years of age who were hospitalized in the Rheumatology department of the University Hospital of Reims and scheduled to receive at least two epidural steroid injections. We observed a significantly lower pain score during the first injection procedure (median 3 (IQ 1; 6) in group 1 vs. 5 (IQ 3; 7) in group 2, p = 0.045). The analysis for the second injection could not be performed by intention-to-treat due to the presence of a sequence effect. There was also a significant reduction in anxiety (p = 0.004 and p = 0.002 by per-protocol analysis). Conclusions: VR can significantly reduce pain and anxiety during epidural steroid injection via the sacral hiatus.