Human well-being plays a vital role in individuals' lives and further impacts their effectiveness. As virtual reality enables individuals to immerse themselves in virtual worlds, it plays an increasingly important role as an access device to improve the quality of individuals’ lives. However, a comprehensive understanding of the impact of immersive technologies on individual well-being and their effect on cognitive performance under stressful situations remains unexplored. In a between-subjects experiment involving 41 participants, we evaluated the impact of VR immersion vs. non-immersive natural environments on relaxation, affective states, mental workload, and cognitive performance. Our findings indicate that VR-based relaxation enhances relaxation levels, improves positive affect, and reduces negative affect and mental workload. Furthermore, the VR group demonstrated better cognitive performance scores compared to the non-VR group. The results underscore the value of integrating VR for mental health interventions and workplace stress management, paving the way for further research.