The paper presents a virtual diving system based on a virtual reality (VR) application for the exploitation of the Underwater Cultural Heritage. The virtual diving experience has been designed to entertain users, but its added pedagogical value is explicitly emphasized too. In fact, the ludic activities, consisting in the simulation of a real diving session from the point of view of a scuba diver, are following a storyline described by a virtual diving companion who guides users during the exploration of the underwater archaeological site. The virtual diving system provides general and historical-cultural contents, but also information about the flora and fauna of the specific submerged site to the users. The results collected through user studies demonstrate that the proposed VR system is able to provide a playful learning experience, with a high emotional impact, and it has been well appreciated by a large variety of audiences, even by younger and inexperienced users.