Role-playing is widely used in many areas, such as psychotherapy and behavior change. However, few studies have explored the possible effects of playing multiple roles in a single role-playing process. We propose a new role-playing paradigm, called role-exchange playing, in which a user plays two opposite roles successively in the same simulated event for better cognitive enhancement. We designed an experiment with this novel role-exchange playing strategy in the immersive virtual environments; and school bullying was chosen as a scenario in this case. A total of 234 middle/high school students were enrolled in the mixed-design experiment. From the user study, we found that through role-exchange, students developed more morally correct opinions about bullying, as well as increased empathy and willingness to engage in supportive behavior. They also showed increased commitment to stopping bullying others. Our role-exchange paradigm could achieve a better effect than traditional role-playing methods in situations where participants have no prior experience associated with the roles they play. Therefore, using role-exchange playing in the immersive virtual environments to educate minors can help prevent them from bullying others in the real world. Our study indicates a positive significance in moral education of teenagers. Our role-exchange playing may have the potential to be extended to such applications as counseling, therapy, and crime prevention.