On Mac OS X using Visual Studio Code version 1.34.0 (1.34.0) I had to do the following to get Visual Studio Code to recognise the virtual environments:
Location of my virtual environment (named ml_venv):
/Users/auser/.pyvenv/ml_venv
auser@HOST:~/.pyvenv$ tree -d -L 2
.
+-- ml_venv
+-- bin
+-- include
+-- lib
I added the following entry in Settings.json: "python.venvPath": "/Users/auser/.pyvenv"
I restarted the IDE, and now I could see the interpreter from my virtual environment: