Recent improvements in virtual reality (VR) allow for the representation of authentic environments and multiple users in a shared complex virtual world in real time. These advances have fostered clinical applications including in psychiatry. However, although VR is already used in clinical settings to help people with mental disorders (e.g., exposure therapy), the related ethical issues require greater attention. Based on a thematic literature search the authors identified five themes that raise ethical concerns related to the clinical use of VR: (1) reality and its representation, (2) autonomy, (3) privacy, (4) self-diagnosis and self-treatment, and (5) expectation bias. Reality and its representation is a theme that lies at the heart of VR, but is also of specific significance in a clinical context when perceptions of reality are concerned, for example, during psychosis. Closely associated is the autonomy of VR users. Although autonomy is a much-considered topic in biomedical ethics, it has not been sufficiently discussed when it comes to applications of VR in psychiatry. In this review, the authors address the different themes and recommend the development of an ethical framework for the clinical use of VR.