Prior research suggests that both exergaming and virtual reality (VR)-based training programs could improve executive functions in older adults. However, few studies investigated whether combining exergaming with VR would be more effective. This study seeks to (a) investigate whether playing exergames in an immersive virtual environment (IVE) would yield differential outcomes in selected executive functions, including inhibition, task switching, and working, and (b) examine the role of feeling of presence as a potential mediator between immersive exergaming and cognitive improvement in specific domains. Thirty-three participants over 50 years of age (mean age = 62) participated in a 4-week training program and were randomly assigned into an IVE and non-IVE to play an exergame (Fruit Ninja) for eight sessions within 4 weeks. The results revealed a significant effect of the IVE on the Stroop Test and Trail Making Test after the 4-week training. Furthermore, the impacts of the IVE exergaming on these two tasks were mediated by the feeling of presence. These findings suggested that the immersive experience of exergaming would elicit the feeling of presence, which later contributes to improved cognitive performances in inhibition and task switching. For the theoretical implications, this study extends previous research by showing that (a) feeling of presence could contribute to older adults' cognitive improvement, and (b) the impacts of immersive exergame training on executive functions vary across individual domains. Additionally, this study provides practical implications such that the design of exergames could emphasize the game features requiring mental simulation, which can serve as a novel strategy for preventing cognitive decline in midlife and old age.