It is well known that physical exercise has beneficial effects on cognitive function in older adults. Recently, several physical exercise programs with virtual reality (VR) have been proposed to support physical exercise benefits. However, it is still unclear whether VR physical exercise (VR-PE) has positive effects on cognitive function in older adults. The purpose of this study was to conduct a systematic review (SR) of the effects of VR-PE on cognitive function in older adults with and without cognitive decline. We used academic databases to search for research papers. The criteria were intervention study using any VR-PE, participants were older adults with and without mild cognitive decline (not dementia), and cognitive functions were assessed. We found that 6 of 11 eligible studies reported the significant benefits of the VR-PE on a wide range of cognitive functions in aging populations. The SR revealed that VR-PE has beneficial effects on the inhibition of executive functions in older adults with and without mild cognitive decline. Moreover, VR-PE selectively leads to improvements in shifting and general cognitive performance in healthy older adults. The SR suggests that VR-PE could be a successful approach to improve cognitive function in older adults with and without cognitive decline.