Virtual reality-delivered psychological therapies have recently been investigated as non-pharmacological management for acute and chronic pain. However, no virtual reality pain therapy software existed that met the needs of cancer patients with neuropathic pain. We created a bespoke virtual reality-delivered pain therapy software programme to help cancer patients manage neuropathic pain incorporating guided visualisation and progressive muscle relaxation techniques, whilst minimising the risk of cybersickness in this vulnerable patient population. This randomised controlled pilot study evaluated the feasibility, acceptability, recruitment rates and risk of cybersickness of this pain therapy software programme. Clinical outcomes including opioid consumption, pain severity, pain interference and global quality of life scores were secondary aims. Of 87 eligible cancer patients with neuropathic pain, 39 were recruited (47%), allocated to either the intervention (20 patients, virtual reality pain therapy software programme) or control (19 patients, viewing virtual reality videos). Four patients withdrew before the 3-month follow-up (all in the control group). Pre-existing dizziness (Spearman ρ 0.37, p = 0.02) and pre-existing nausea (Spearman ρ 0.81, p < 0.001) were significantly associated with risk of cybersickness in both groups. Patients in the intervention group reported less cybersickness, as well as tolerated and completed all therapy sessions. At 1- and 3-month follow-up, there were trends in the intervention group towards reductions in: oral morphine equivalent daily dose opioid consumption (-8 mg and -4 mg; vs. control: 0 mg and +15 mg respectively); modified Brief Pain Inventory pain severity (-0.4, -0.8; vs. control +0.4, -0.3); and pain interference (-0.9, -1.8; vs. control -0.2, -0.3) scores. The global quality of life subscale from the European Organisation for Research and Treatment of Cancer Quality of Life Questionnaire-C30 was not significantly changed between groups at 1 and 3 months (intervention: -5, -8; vs. control: +3, +4). This newly created virtual reality-delivered pain therapy software programme was shown to be feasible and acceptable to cancer patients with neuropathic pain. These results will aid the design of a definitive multicentre randomised controlled trial.