Mid-air interaction is one of the promising interaction modalities in virtual reality (VR) due to its merits in naturalness and intuitiveness, but the interaction suffers from the lack of haptic feedback as no force or vibrotactile feedback can be provided in mid-air. As a breakthrough to compensate for this insufficiency, the application of pseudo-haptic features which create the visuo-haptic illusion without actual physical haptic stimulus can be explored. Therefore, this study aimed to investigate the effect of four pseudo-haptic features: proximity feedback, protrusion, hit effect, and penetration blocking on user experience for free-hand mid-air button interaction in VR. We conducted a user study on 21 young subjects to collect user ratings on various aspects of user experience while users were freely interacting with 16 buttons with different combinations of four features. Results indicated that all investigated features significantly improved user experience in terms of haptic illusion, embodiment, sense of reality, spatiotemporal perception, satisfaction, and hedonic quality. In addition, protrusion and hit effect were more beneficial in comparison with the other two features. It is recommended to utilize the four proposed pseudo-haptic features in 3D user interfaces (UIs) to make users feel more pleased and amused, but caution is needed when using proximity feedback together with other features. The findings of this study could be helpful for VR developers and UI designers in providing better interactive buttons in the 3D interfaces.