Background: Chronic kidney disease is closely related to a high risk of death and disability, poor physical performance and frailty. The main objective of this research was to analyse how intradialytic administration of a non-immersive virtual reality (VR) exercise programme would affect physical function and adherence to exercise in these patients. Methods: A total of 56 individuals participated in two 12-week periods in a crossover randomized controlled trial. Each patient underwent a functional capacity evaluation before and after each study period. The functional tests administered included the 4-m gait speed test, Short Physical Performance Battery (SPPB), timed up-and-go (TUG) test, one-legged stance test (OLST) for balance, sit-to-stand 10 (STS-10) and sit-to-stand 60 (STS-60) tests and 6-min walking test (6MWT). Adherence to the exercise programme was also recorded. To assess the effect of VR exercise on the functional test outcomes over time, the patients were analysed using a two-way repeated-measures analysis of variance with time and treatment as the within-participant factors. Results: By the end of the 12 weeks of exercise, compared with the control period, 33 participants showed significant change in physical function as measured through the 4-m gait speed test (0.14 m/s), SPPB (1.2 points), TUG (−1.7 s), OLST (7.1 s), STS-10 (−5.8 s), STS-60 (5 repetitions) and 6MWT (85.2 m), with adherence rates exceeding 70%. There were no changes in the biochemical data or in the medications in the period of the study. Conclusion: An intradialytic non-immersive VR exercise programme improves patient physical function.