Depression is a serious public health concern. The problem is further exacerbated due to social stigma and stereotypical attitudes. Thus, many people with depression keep the suffering to themselves and avoid seeking professional psychological help. Virtual reality applications offer a way to provide a virtual counseling experience without being stigmatized. In this study, we produced 360-degree virtual reality videos in which a person is shown sharing stories about his experience of living with depression. The participants (n = 12), with mild and moderate levels of depression, were invited in the lab and watched the 360-degree videos using Oculus Rift. After each video, participants were asked to say-out-loud their personal experiences about living with depression. We hypothesize that such private and confidential experience of talking about one’s illness will help the users to express their feelings without the fear of being stigmatized. Results show that participants expressed more positive emotions, compared with negative emotions, after watching the 360-degree videos. Participants also expressed high positive attitude toward help seeking behavior. However, the study did not find an above average behavioral intention to seek help. Qualitative data gathered from the thought-listing exercise provides further insights about the effectiveness of virtual reality videos to promote help seeking behavior among depressed individuals. The study offers implications for improving mental health help-seeking, specifically on college campuses.