Virtual coaches in virtual reality (VR) offer scalable mental health treatment without an on-site therapist, yet their impact on psychophysiological responses remains unclear. We examine how VR content and coach design influence physiological measures, such as heart rate (HR) and electrodermal activity (EDA), in a therapeutic setting. 120 participants with a fear of heights interacted with a virtual coach that varied in facial warmth (with/without) and affirmative nods (with/without) during a virtual consultation, followed by a virtual height exposure. Physiological responses were recorded. Virtual heights exposure elicited significantly higher HR (p < 0.001, r = 0.347) and EDA (p = 0.003, r = 0.292), but also increased heart rate variability (HRV, p = 0.005, r = 0.272) compared to the VR consultation. Warm facial expressions increased EDA peak amplitudes (p = 0.043, ηP2 = 0.574) during the consultation and raised HRV during height exposure (p = 0.036, ηP2 = 0.041). This study highlights VR coach design’s impact on physiological responses, emphasising the need for thoughtful emotional design to enhance therapeutic outcomes in automated VR therapies.