Technologies such as virtual reality (VR), an immersive computer-based environment that induces a feeling of mental and physical presence, are becoming increasingly popular for promoting participation in exercise. The purpose of this study was to explore changes in motivation and other psychological states when the physique of an exercise companion was altered during a VR-based exercise task, and whether trait social physique anxiety (SPA) altered these effects. Using a mixed experimental design, female participants (N = 43) categorised as high or low in SPA participated in two counterbalanced 10-min running tasks within a VR environment where the exercise companion was either overweight or in-shape. Across both running tasks, individuals with high SPA reported higher negative affect, pressure and tension, and lower perceived competencies, than those with low SPA. Pressure and tension were also higher when exercising with an in-shape companion than with an overweight companion for all participants. In addition, participants with high SPA reported a stronger preference to exercise with an overweight companion than those with low SPA in a real exercise setting, but not in a VR setting. The findings suggest that the physique of an exercise companion and the SPA of an exerciser have important, but independent, psychosocial effects during exercise. That an in-shape physique of a virtual exercise companion was not a deterrent among those with high SPA has provided preliminary evidence that VR-based exercise may be helpful among females who worry about their appearance or feel self-conscious while exercising.