Cognitive and affective processing has been the central focus of brain-related functions in psychology and psychiatry for many years. Much less attention has been paid to what could be considered the primary function of the brain, to regulate the function of the body. Recent developments, which include the conceptualization of interoception as a process consisting of integrating the information coming from the inside of the body in the central nervous system and the appreciation that complex emotional processes are fundamentally affected by the processing and regulation of somatic states, have profoundly changed the view of the function and dysfunction of the brain. This review focuses on the relationship between breathing and anxiety. Several anxiety disorders have been associated with altered breathing, perception of breathing, and response to manipulations of breathing. Both clinical and experimental research studies are reviewed that relate breathing dysfunctions to anxiety. Altered breathing may be useful as a physiological marker of anxiety as well as a treatment target using interoceptive interventions.