Background/Objectives: This feasibility study explores the use of virtual reality (VR) as an adjunct therapy during capsaicin administration for individuals with chronic neuropathic pain. Chronic neuropathic pain poses significant management challenges due to its complex biopsychosocial nature. This study aimed to assess the acceptability, usability, and preliminary effectiveness of VR in reducing pain, anxiety, aversiveness, and rumination during painful procedures. Methods: A total of 24 patients participated in the study and received either capsaicin treatment with VR (n = 12) or treatment as usual (n = 12). The VR group engaged with “SnowWorld”, an immersive, interactive environment designed to promote distraction and relaxation. Outcomes including pain (average and worst), aversiveness, rumination, and anxiety, were assessed via 11-point scales. Results: Participants in the VR condition reported significantly lower scores for worst pain (2.83 vs. 6.33), average pain (2.08 vs. 5.42), aversiveness (1.50 vs. 6.08), rumination (1.17 vs. 5.75), and anxiety (0.83 vs. 5.17) compared to the controls (all p < 0.001). Participants reported high satisfaction regarding the VR experience, noting its immersive nature and ease of use. The qualitative feedback highlighted the VR’s ability to foster relaxation and distraction during capsaicin administration. Conclusions: These findings support the feasibility and preliminary efficacy of VR as an adjunctive tool for acute pain management during capsaicin treatment. Further studies with larger samples are warranted to confirm these effects and explore long-term outcomes.