Understanding and visualizing data, a fundamental concept in statistics and machine learning, can often pose significant challenges due to its abstract nature and multidimensional complexity. In this paper, we introduce a groundbreaking approach to address this challenge through the utilization of virtual reality (VR) technology. Leveraging Unity, a versatile game development platform, we construct an immersive VR environment where users, especially students, can witness the dynamic adjustment of a regression plane to accurately fit the data points. This innovative method offers a dynamic, interactive way to comprehend the complexities of multiple linear regression, rendering it more accessible and intuitive. The VR simulation addresses the challenge of visualizing and understanding high-dimensional data by providing a tangible, three-dimensional representation, thus enhancing the learning experience for students. Our research revolutionizes statistical education by bridging abstract concepts with tangible visualizations, transforming interpretations of multiple linear regression and opening new avenues in data science methodologies.