Virtual reality using head-mounted displays (HMD) could provide enhanced physical load during active gaming (AG) compared to traditional displays. We aimed to compare the physical load elicited by conventional exercise and AG with an HMD. We measured energy expenditure (EE) and heart rate (HR) in nine healthy men (age: 27 ± 5 years) performing three testing components in a randomised order: walking at 6 km/h (W6), AG, and AG with an additional constraint (AG^W; wrist-worn weights). Although we found that HR was not significantly different between W6 and the two modes of AG, actual energy expenditure was consistently lower in AG and AG^W compared to W6. We observed that playing AG with wrist-worn weights could be used as a means of increasing energy expenditure only at maximum game level, but ineffective otherwise. Our findings indicate that AG in an HMD may not provide a sufficient stimulus to meet recommended physical activity levels despite increased psychophysiological load. The differential outcomes of measures of HR and EE indicates that HR should not be used as an indicator of EE in AG. Yet, adding a simple constraint (wrist-worn weights) proved to be a simple and effective measure to increase EE during AG.