Virtual Reality Exposure Therapy (VRET) demonstrates efficacy comparable to gold-standard in vivo Exposure Therapy (ET) for anxiety disorders, yet clinical adoption remains limited. We propose co-located Multi-User Mixed Reality (MU-MR) for ET, enabling therapists and patients to share virtual environments while physically co-located, preserving natural interpersonal cues through selective video-passthrough without requiring avatars. The system enables flexible transitions between Mixed Reality (MR), where virtual stimuli are coherently embedded in the real world, and fully virtual environments. Through a provider-first development approach, we conducted two studies with practicing psychotherapists. Study 1 () demonstrated Single-User Virtual Reality (SU-VR) and MU-MR experiences, identifying five priority features for MU-MR: shared exposure scenarios, collaborative scenario design, precise stimulus control, biofeedback integration, and gaze/attention visualization. Study 2 evaluated these implemented features in a hands-on workshop (). Participants rated all features as useful, attractive, and relevant, with collaborative design and stimulus control receiving highest relevance ratings. While practical implementation barriers remain, findings suggest co-located MU-MR particularly addresses the perceived barrier between therapist and patient present in current SU-VR systems. By combining the interpersonal authenticity of in vivo exposure with the control and flexibility of virtual interventions, co-located MU-MR offers a promising extension of contemporary SU-VR, and a path toward improving VRET adoption in clinical practice.