Outdoor exercise is beneficial for psychophysical well-being. Limited studies have compared outdoor and virtual reality (VR) indoor physical activities, especially in coastal settings. Therefore, this study aimed to assess the impact of outdoor coastal walking and indoor walking in a VR simulation with a similar environment on physiological and psychological variables in healthy adults. A total of 26 subjects (14 M and 12 F, age 25.2 ± 2.5 years) voluntarily participated in this crossover randomized controlled and counterbalanced study and were allocated under three conditions: VR indoor walking (INVR), outdoor walking (OUT) and standard indoor walking (IN). IN and INVR conditions were performed on a treadmill (speed 4.5 km/h) and the OUT was performed on a seaside pedestrian road. The same outdoor environment was displayed in the visor during the INVR. Heart rate (HRmean/max), physical activity enjoyment (PACES-It) and state of mindfulness for physical activity (SMS-PA) were assessed at the end of each condition. The OUT condition showed significantly greater PACES-It scores and HRmean than IN and INVR (p < 0.001) and greater SMS-PA scores and HRmax than IN (p < 0.01 and p < 0.05, respectively). No significant differences were found between OUT and INVR regarding HRmax and SMS-PA scores (p > 0.05). Findings suggest that physical activity in an immersive technology may lead to physiological loads comparable to the outdoor environment. OUT is more enjoyable than IN and INVR but exhibits a mindfulness response comparable to INVR. Therefore, INVR could be an alternative to OUT for those who cannot engage in outdoor activities for various reasons.