The main aim of this study is to investigate whether the control the user has over a virtual environment (VE) influences the sense of presence. A secondary purpose is to explore the relationship between Virtual Reality (VR) presence and pain tolerance during a cold-pressor experience. Ninety-four participants underwent two consecutive cold-pressor trials, one without VR exposure and the other providing a VR stereoscopic figure used as a symbolic representation of the sensation of pain. Participants were randomly assigned to an interactive condition in which they could actively manipulate the VR figure to achieve a pleasant, tranquil environment (analogous to no-pain situation) or to a passive intervention, in which they observed the changes in the VR figure. Results showed that the amount of VR presence reported was significantly higher in the interactive condition. Participants had a higher pain tolerance during both VR conditions than in the no-VR trial, with a greater increase in pain tolerance from the non-VR trial in the interactive condition. Presence scores correlated significantly and positively with pain tolerance scores. We discuss the importance of VR interaction and control over the VR environments used in VR pain interventions designed to increase cognitive control over pain.