Virtual reality (VR) has the potential to help clinical medicine manage generalized anxiety disorder (GAD). However, patients with GAD who use traditional head-mounted VR to cycle may cause them to feel motion sickness and fatigue. To solve this problem, a projection-based virtual environment (VE) system was built to provide GAD patients with a sense of immersion while they are cycling. This projection-based VE system allows patients with GAD to interact with the virtual environment and produce experiences similar to cycling in the outdoors. Sixty GAD patients met several screening criteria and were selected as participants. All participants were randomly assigned to one of the two 20-min conditions: (1) Observing watercolor paintings projected by the projector while engaged in cycling with a stationary bicycle; or (2) observing the scenes (i.e., forest or park) projected by the VE system and engaging in cycling with a stationary bicycle. Finally, this study confirmed that patients with GAD in the projection-based VE group exhibited higher alpha values and lower galvanic skin responses (GSR) after cycling than those cycling in the control group. These results showed that cycling in the projection-based VE group allowed the patient with GAD to achieve higher exercise intensity and lower perceived emotional stress.