Embodiments of an invention for virtualization exceptions are disclosed. In one embodiment, a processor includes instruction hardware, control logic, and execution hardware. The instruction hardware is to receive a plurality of instructions, including an instruction to enter a virtual machine. The control logic is to determine, in response to a privileged event occurring within the virtual machine, whether to generate a virtualization exception. The execution hardware is to generate a virtualization exception in response to the control logic determining to generate a virtualization exception.