(1) Background: With the term Virtual reality (VR) we refer to a three-dimensional environment generated by the computer, in which subjects interact with the environment as if they were really inside it. The most used VR tools are the so-called HMD (head-mounted display) which make it possible to achieve what theorists define “direct mediated action”. The aim of our systematic review is specifically to investigate the applications of virtual reality therapy for the treatment of social anxiety disorder, also known as social phobia. The most common treatment for social anxiety disorder is represented by “in vivo exposure therapy” (iVET). This method consists of exposing the participant, in a gradual and controlled way, to anxious stimuli, with the goal to change the subject’s response to the object or situation that is causing the fear. However, the main flaw of “in Vivo therapies” is represented by both the huge costs involved and the possible disturbance variables that can hinder the execution of the therapeutic treatment. Virtual reality exposure therapy could therefore, if confirmed in its effectiveness, constitute a solution to eliminate these two defects demonstrated by “in vivo exposure therapy”. The goal is to use VR as a means for the clinician to build a tailor-made path for the participant in order to make him acquire “in virtual” those skills necessary for a good adaptation in the “real” world. (2) Methods: From February 2021 until the date of submission of the article (September 2021), we conducted a systematic review aiming to verify the effectiveness of virtual reality exposure therapy (VRET) for the treatment of SAD. (3) Results: We identified a total of 205 unique articles. Among these, 20 full-text articles were assessed for eligibility and 5 of these met the eligibility criteria and were, therefore, included in the final systematic review. (4) Conclusions: Virtual reality therapies proved to be a valid alternative to the acquisition of social skills suitable for improving the symptoms of SAD. Although there has not been a significant difference between VRET and iVET, the low costs and flexibility of VRET open up new scenarios for achieving greater psychophysical well-being.