There is evidence that virtual reality (VR) pain distraction is effective at improving pain-related outcomes. However, more research is needed to investigate VR environments with other pain-related goals. The main aim of this study was to compare the differential effects of two VR environments on a set of pain-related and cognitive variables during a cold pressor experiment. One of these environments aimed to distract attention away from pain (VRD), whereas the other was designed to enhance pain control (VRC). Participants were 77 psychology students, who were randomly assigned to one of the following three conditions during the cold pressor experiment: (a) VRD, (b) VRC, or (c) Non-VR (control condition). Data were collected regarding both pain-related variables (intensity, tolerance, threshold, time perception, and pain sensitivity range) and cognitive variables (self-efficacy and catastrophizing). Results showed that in comparison with the control condition, the VRC intervention significantly increased pain tolerance, the pain sensitivity range, and the degree of time underestimation. It also increased self-efficacy in tolerating pain and led to a reduction in reported helplessness. The VRD intervention significantly increased the pain threshold and pain tolerance in comparison with the control condition, but it did not affect any of the cognitive variables. Overall, the intervention designed to enhance control seems to have a greater effect on the cognitive variables assessed. Although these results need to be replicated in further studies, the findings suggest that the VRC intervention has considerable potential in terms of increasing self-efficacy and modifying the negative thoughts that commonly accompany pain problems.