Virtual worlds constitute an important part of the educational landscape that possesses unique learning capabilities and opens up new horizons in education. A vital part of 3D virtual worlds concerns the intelligent pedagogical agents that are integrated in the environments and aim to improve the interaction with the users and enhance their learning experience. The main purpose of this study is to assess the impact that the pedagogical agents have on students' engagement and learning experiences during training activities in virtual worlds. Specifically, we examine how students perceive the role of pedagogical agents as learning companions during specific exercises and activities and the impact that the guidance offered via pedagogical agents has on students' engagement and learning. In this regard, an experimental evaluation study was designed and performed in a 3D virtual world educational environment that is used to assist students in learning aspects of environmental engineering. The results of the study show that the assistance and the help offered to students via pedagogical agents have great impact on students' engagement and improved their learning experiences.