(1) Background: VR is based on a virtual world that creates sounds effects and videos that replace the real environment. Arising literature shows VR efficacy in the field of neurological rehabilitation (NR) and that its use is also taking a place in musculoskeletal rehabilitation (MSR), as a treatment of various disorders that cause disability and chronic pain. (2) Aim: We discuss the role of VR in MSR, presenting its use and development on acute and chronic musculoskeletal disorders, based on the most recent literature. (3) Design and Methods: Literature searches were conducted in the databases Pubmed and Medline up to 30 September 2023. The PRISMA-Scr Checklist was followed. (4) Results: A total of 51 records were included. The analysed studies were conducted within a variety of populations, musculoskeletal disorders, settings, and VR technologies. Only a few studies could statistically affirm the efficacy of VR in MSR, as mentioned for the rehabilitation of the upper limb. Nevertheless, the observed trend is an improvement of the global perceived effect compared to traditional rehabilitation. (5) Conclusion: VR allows for the personalisation of treatment with an adaptable treatment platform, which may improve the participation of the patient and increase acceptability and adherence to long-term rehabilitation programs. We provide recommendations and suggestions for future research and use of VR in musculoskeletal rehabilitation.