Exercise is beneficial for physical and psychological health, yet the majority of Australian adults are not sufficiently active to gain health benefits. Novel methods are needed to enhance the experience of exercise and ultimately exercise participation. The present study examined performance and psychological experiences during a (non-immersive) virtual reality cycling task that incorporated affective feedback. Female participants (N = 137, university students) received either positive, negative, or neutral virtual feedback while cycling on a stationary bicycle in a virtual reality laboratory environment under the instruction to maintain at least 70% of their maximal heart rate for as long as possible (or up to 30 minutes). Participants also responded to measures of affect, motivation, enjoyment, and competitiveness. Data were analysed with ANOVA's performed with feedback groups and trait competitiveness for the psychological and performance dependent measures. Results showed that positive feedback elicited greater interest and enjoyment during the task than neutral and negative feedback. In addition, perceived competence was greater with positive feedback than for neutral and negative feedback in low competitive participants. The type of feedback did not affect performance (cycling persistence, perceived exertion, and effort). The findings indicate the potential importance of providing positive virtual feedback and considering the interaction of individual difference factors, specifically competitiveness, to enhance virtual exercise experiences.