Music is a potent mood regulator that can induce relaxation and reduce anxiety in different situations. While several studies demonstrate that certain types of music have a subjective anxiolytic effect, the reported results from physiological responses are less conclusive. Virtual reality allows us to study diverse scenarios of real life under strict experimental control while preserving high ecological validity. We aimed to study the modulating effect of music on the anxiety responses triggered by an immersive virtual reality scenario designed to induce fear of heights. Subjects experienced a virtual scenario depicting an exterior elevator platform ascending and descending the total height of its 350 meters tall supporting structure. Participants were allocated to either a group that experienced the elevator ride with background music or without, in a between-groups design. Furthermore, each group included participants with different degrees of fear of heights, ranging from low to high fear. Recordings of heart rate, galvanic skin response, body balance, and head movements were obtained during the experiments. Subjective anxiety was measured by means of three questionnaires. The scenario produced significant changes in subjective and physiological measures, confirming its efficacy as a stressor. A significant increase in state anxiety was found between pre and post-assessment in the silence group, but not in the music group, indicating that post-stress recovery was faster in the musical group. Results suggest that music can ameliorate the subjective anxiety produced by fear of heights.