Neuropathic pain in people with spinal cord injury is thought to be due to altered central neuronal activity. A novel therapeutic intervention using virtual reality (VR) head-mounted devices was investigated in this study for pain relief. Given the potential links to neuronal activity, the aim of the current study was to determine whether use of VR was associated with corresponding changes in electroencephalography (EEG) patterns linked to the presence of neuropathic pain. Using a within-subject, randomised cross-over pilot trial, we compared EEG activity for three conditions: no task eyes open state, 2D screen task and 3D VR task. We found an increase in delta activity in frontal regions for 3D VR with a decrease in theta activity. There was also a consistent decrease in relative alpha band (8–12 Hz) and an increase in low gamma (30–45 Hz) power during 2D screen and 3D VR corresponding, with reduced self-reported pain. Using the nonlinear and non-oscillatory method of extracting fractal dimensions, we found increases in brain complexity during 2D screen and 3D VR. We successfully classified the 3D VR condition from 2D screen and eyes opened no task conditions with an overall accuracy of 80.3%. The findings in this study have implications for using VR applications as a therapeutic intervention for neuropathic pain in people with spinal cord injury.