This study investigates the use of GeoGebra, a Dynamic Geometry Software (DGS) for math learning in Virtual Reality (VR) using head-mounted displays. We conducted a study with n = 20 middle school students receiving a mathematics tutoring intervention over time in a VR environment. Using theories of embodied cognition and playful mathematics, this paper focuses on distinguishing between mathematical play and general play in VR environments. We also look at interactions that led to instances of play. Key findings highlight how mathematical play in an immersive VR environment using DGS allows mathematical misconceptions to surface, students to explore mathematical ideas, and opportunities for mathematical reasoning about target concepts to build off play experiences. General play allows for the embodied engagement of learners in the mathematical learning environment and includes engagement and rapport-building. The integration of play fits well into VR environments that uniquely allow for immersion and embodiment, and play should be purposefully integrated into such VR environments in the future.