Virtual Reality (VR) is a new technology which consists in the generation of graphic environments which both produce in the users the feeling of being physically present in a virtual world and also allows them interaction in real time. At this moment a great expansion of this technology is taking place in several fields, including the area of health. Especially interesting for us is the use of VR as a therapeutic tool in the treatment of psychological disorders. The first case study that used virtual reality techniques was published in 1995. Since then, an increasing number of studies in the Clinical Psychology field centered on the therapeutic application of VR have been made, mainly on the treatment of anxiety disorders. There are already data on the effectiveness of these VR procedures for the treatment of different psychological disorders. This article reviews the different studies made in this field. Besides, the advantages and disadvantages of VR, and the future lines of work concerning this new technology are also analyzed.