Fibromyalgia (FM) is associated with altered pain modulation and heterogeneous responses to exercise. Exercise-induced hypoalgesia (EIH), typically observed in healthy individuals, appears inconsistent in FM. Immersive virtual reality-based exercise (VRBE) may influence pain through cognitive and attentional mechanisms, but its relationship with EIH remains unclear. This study aimed to identify exploratory response patterns based on changes in pressure pain thresholds (ΔPPT) following a single VRBE session and to explore associations with clinical and cognitive variables. A secondary pre–post analysis was conducted in 35 women with FM who completed a standardized VRBE protocol. PPTs were assessed at the trapezius, lumbar region, and knee before and after the intervention. K-means clustering was applied to ΔPPT values, and repeated measures ANOVA evaluated time × cluster interactions. No significant group-level changes in PPT were observed (p ≥ 0.432). Three response patterns were identified: positive responders (17%), negative responders (23%), and non-responders (60%), with significant time × cluster interactions across all sites (p < 0.001). Cognitive function and educational level were associated with ΔPPT but did not predict cluster membership. These findings indicate interindividual variability in EIH responses following VRBE in FM, highlighting the potential relevance of individualized monitoring during VR-based exercise interventions and the need for further investigation of underlying mechanisms.