We report a meta-Analysis of virtual reality (VR) interventions for anxiety and depression outcomes, as well as treatment attrition. We included randomized controlled trials comparing VR interventions, alone or in combination, to control conditions or other active psychological interventions. Effects sizes (Hedges' g) for anxiety and depression outcomes, as post-Test and follow-up, were pooled with a random-effects model. Drop-outs were compared using odds ratio (OR) with a Mantel-Haenszel model. We included 39 trials (52 comparisons). Trial risk of bias was unclear for most domains, and high for incomplete outcome data. VR-based therapies were more effective than control at post-Test for anxiety, g = 0.79, 95% CI 0.57 to 1.02, and depression, g = 0.73, 95% CI 0.25 to 1.21, but not for treatment attrition, OR = 1.34, 95% CI 0.95 to 1.89. Heterogeneity was high and there was consistent evidence of small study effects. There were no significant differences between VR-based and other active interventions. VR interventions outperformed control conditions for anxiety and depression but did not improve treatment drop-out. High heterogeneity, potential publication bias, predominant use of waitlist controls, and high or uncertain risk of bias of most trials question the reliability of these effects.