Diaphragmatic breathing is relaxing and therapeutic, reduces stress, and is a fundamental procedure of Pranayama Yoga, Zen, transcendental meditation and other meditation practices. Analysis of oxidative stress levels in people who meditate indicated that meditation correlates with lower oxidative stress levels, lower cortisol levels and higher melatonin levels. It is known that cortisol inhibits enzymes responsible for the antioxidant activity of cells and that melatonin is a strong antioxidant; therefore, in this study, we investigated the effects of diaphragmatic breathing on exercise‐induced oxidative stress and the putative role of cortisol and melatonin hormones in this stress pathway. We monitored 16 athletes during an exhaustive training session. After the exercise, athletes were divided in two equivalent groups of eight subjects. Subjects of the studied group spent 1 h relaxing performing diaphragmatic breathing and concentrating on their breath in a quiet place. The other eight subjects, representing the control group, spent the same time sitting in an equivalent quite place. Results demonstrate that relaxation induced by diaphragmatic breathing increases the antioxidant defense status in athletes after exhaustive exercise. These effects correlate with the concomitant decrease in cortisol and the increase in melatonin. The consequence is a lower level of oxidative stress, which suggests that an appropriate diaphragmatic breathing could protect athletes from long‐term adverse effects of free radicals.