Heart rate variability biofeedback (HRV-BF) is frequently used for stress management. Recently, virtual reality technology has gained attention for delivery, promising higher immersion, motivation, and attention than classical screens. However, the effects of different technologies and breathing techniques are not yet understood. In this study, 107 healthy participants completed a session in one of four conditions: HRV-BF on a desktop screen, HRV-BF via head-mounted display (HMD), standardised paced breathing without feedback (sPB) on a screen, or sPB via HMD. All setups significantly reduced perceived stress and increased heart rate variability (HRV). Practising HRV-BF, however, led to significantly greater increases in the low frequency band of HRV and cardiac coherence than sPB, and using an HMD rather than a screen also led to greater increases in cardiac coherence. As for user experience, immersion adaptation and interface quality were higher for HMDs and facilitating conditions were better for screens. While all technique and technology combinations are feasible and effective for stress management, immersing oneself in virtual reality with an HMD for HRV-BF might yield increased benefits in terms of HRV target outcomes and several user experience measures. Future research is necessary to confirm any long-term effects of such a mode of delivery.