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Background Study: Virtual reality (VR) is becoming a popular technology for safety training in construction. Several VR training prototypes have been designed and tested, which show they can perform better than traditional training tools. However, most of these existing tools are not underpinned by clear pedagogical theory, and studies assessing the impact of pedagogical theories on the effectiveness of VR prototypes are still rare in the literature. Objectives: This study aims to investigate if and how the productive failure theory and the directive instruction theory have an impact on the effectiveness of VR safety training for confined space workers. Methods: The study used a randomized controlled method involving 74 participants. The effectiveness of these two training methods was assessed in terms of knowledge acquisition and retention. Results and Conclusions: The results illustrate that the productive failure training design performed better in terms of knowledge acquisition and retention. This paper introduces the Productive Failure Theory and shows the great potential of this approach for self‐service VR safety training in the field of construction. Lay Description: What is already known about this topic: PF has been proven effective in classroom‐based teaching practice.PF has been proven effective in non‐immersive virtual training.DI is a commonly used pedagogical method for VR training. What this paper adds: The present paper investigates the feasibility of applying PF theory in VR safety training.The present paper examines the pedagogical impacts of the two pedagogical approaches within VR serious games. Implications for practice and/or policy: PF can be applied to self‐help VR safety training, reducing the demand for resources such as teaching staff and venues.PF training design performed better in terms of knowledge acquisition and retention.PF has great potential for self‐help VR safety training in various fields. [ABSTRACT FROM AUTHOR]