An anime about toy dolls which can be controlled when the player wears a headset
This is Kidou Tenshi Angelic Layer


  12-year-old Misaki Suzuhara has just gotten involved in Angelic Layer, a battling game using electronic dolls called angels. Even as a newbie, Misaki shows advanced skills as she meets new friends and enters Angelic Layer tournaments to fight the greatest Angelic Layer champions of the nation.


Below is are 2 pages from chapter 3 of the manga showing the head set and how the doll can be controlled when the player wears the headset: