Virtual reality (VR), while enhancing user experiences, introduces significant privacy risks. This paper reveals a novel vulnerability in VR systems that allows attackers to capture VR privacy through obstacles utilizing millimeter-wave (mmWave) signals without physical intrusion and virtual connection with the VR devices. We propose mmSpyVR, a novel attack on VR user's privacy via mmWave radar. The mmSpyVR framework encompasses two main parts: (i) A transfer learning-based feature extraction model to achieve VR feature extraction from mmWave signal. (ii) An attention-based VR privacy spying module to spy VR privacy information from the extracted feature. The mmSpyVR demonstrates the capability to extract critical VR privacy from the mmWave signals that have penetrated through obstacles. We evaluate mmSpyVR through IRB-approved user studies. Across 22 participants engaged in four experimental scenes utilizing VR devices from three different manufacturers, our system achieves an application recognition accuracy of 98.5\% and keystroke recognition accuracy of 92.6\%. This newly discovered vulnerability has implications across various domains, such as cybersecurity, privacy protection, and VR technology development. We also engage with VR manufacturer Meta to discuss and explore potential mitigation strategies. Data and code are publicly available for scrutiny and research at https://github.com/luoyumei1-a/mmSpyVR/