Background: This prospective, randomized controlled trial examined the effect of progressive muscle relaxation (PMR) training on anxiety and depression in patients with chronic breathing disorders receiving pulmonary rehabilitation (PR). Methods: Eighty-three subjects with chronic breathing disorders entering the 8-week PR program were randomly assigned to a standard care or intervention group. The standard program included 2 days per week of exercise, education and psychosocial support delivered by a multidisciplinary team. The intervention group received additional sessions of PMR training using a prerecorded tape for 25 min/week during weeks 2–8. Primary outcome measures were levels of anxiety and depression evaluated by the Hospital Anxiety and Depression Scale. Results: For anxiety, there was an overall significant improvement within each group over time (p < 0.0001). There was no statistically significant group-time interaction (p = 0.17) and no statistically significant difference between the groups (p = 0.22), despite lower scores for every time point in the PMR group. For depression, there was an overall significant improvement within each group over time (p < 0.0001). Although the difference between the groups (p = 0.09) and group-time interaction (p = 0.07) did not reach statistical significance, the results again favored the PMR group for weeks 5–8. Depression scores were lower for the PMR throughout weeks 1–8. Conclusions: PR is effective in reducing anxiety and depressive level in chronic lung patients. Our findings suggest that adding structured PMR training to a well-established PR program may not confer additional benefit in the further reduction of anxiety and depression in patients receiving PR.