Currently, great emphasis is placed on the development and intervention of psychology in sports in order to address the problem of athletes’ failure to achieve peak performance in actual competitions. This problem is primarily due to internal factors, such as anxieties, as well as external factors, such as the high pressure of the competitive environments athletes encounter. In this study, the cognitive anxiety, somatic anxiety and self confidence levels amongst elite and sub-elite Malaysian volleyball players are defined (male sample n = 50; female sample n = 35; age range between 17 to 25 years). These parameters were measured using the Competitive State Anxiety Inventory (CSAI-2), in which the questionnaires were completed by all respondents 30 minutes prior to the start of a competition. The findings indicated that there was a significant difference (p < 0.005) in cognitive anxiety, somatic anxiety and self-confidence among elite and sub-elite Malaysian (male and female) volleyball athletes. According to the findings, the competitive anxiety levels of the sub-elite athletes were higher than the elite, mainly due to the inability of the sub-elite athletes to control their emotions using psychological skills. In order to minimize this problem, a novel approach that involves using virtual reality to reduce the athletes’ competitive anxiety was proposed. This approach utilizes a 3D immersive environment that was developed based on the challenging real-world situations encountered during a volleyball match. The design and development of this approach is predicted to enhance athletes’ psychological skills, and in turn ensure that they can achieve peak performance under high pressure conditions.