Virtual Reality (VR) is quickly establishing itself in various industries, including training, education, medicine, and entertainment, in which users are frequently required to carry out multiple complex cognitive and physical activities. However, the relationship between cognitive activities, physical activities, and familiar feelings of cybersickness is not well understood and thus can be unpredictable for developers. Researchers have previously provided labeled datasets for predicting cybersickness while users are stationary, but there have been few labeled datasets on cybersickness while users are physically walking. Thus, from 39 participants, we collected head orientation, head position, eye tracking, images, physiological readings from external sensors, and the self-reported cybersickness severity, physical load, and mental load in VR. Throughout the data collection, participants navigated mazes via real walking and performed tasks challenging their attention and working memory. To demonstrate the dataset's utility, we conducted a case study of training classifiers in which we achieved 95% accuracy for cybersickness severity classification. The noteworthy performance of the straightforward classifiers makes this dataset ideal for future researchers to develop cybersickness detection and reduction models. To better understand the features that helped with classification, we performed SHAP(SHapley Additive exPlanations) analysis, highlighting the importance of eye tracking and physiological measures for cybersickness prediction while walking. This open dataset can allow future researchers to study the connection between cybersickness and cognitive loads and develop prediction models. This dataset will empower future VR developers to design efficient and effective Virtual Environments by improving cognitive load management and minimizing cybersickness.