In social interactions, interpersonal distance between interaction partners plays an important role in determining the status of the relationship. Interpersonal distance is an important nonverbal behavior, and is used to regulate personal space in a complex interplay with other nonverbal behaviors such as eye gaze. In social anxiety, studies regarding the impact of interpersonal distance on within-situation avoidance behavior are so far rare. Thus the present study aimed to scrutinize the relationship between gaze direction, sex, interpersonal distance, and social anxiety in social interactions. Social interactions were modeled in a virtual-reality (VR) environment, where 20 low and 19 high socially anxious women were confronted with approaching male and female characters, who stopped in front of the participant, either some distance away or close to them, and displayed either a direct or an averted gaze. Gaze and head movements, as well as heart rate, were measured as indices of avoidance behavior and fear reactions. High socially anxious participants showed a complex pattern of avoidance behavior: when the avatar was standing farther away, high socially anxious women avoided gaze contact with male avatars showing a direct gaze. Furthermore, they showed avoidance behavior (backward head movements) in response to male avatars showing a direct gaze, regardless of the interpersonal distance. Overall, the current study proved that VR social interactions might be a very useful tool for investigating avoidance behavior of socially anxious individuals in highly controlled situations. This might also be the first step in using VR social interactions in clinical protocols for the therapy of social anxiety disorder.