Chronic stress is among the most common diagnoses in Sweden, most commonly in the form of exhaustion syndrome (ICD-10 classification – F43.8). The majority of patients with this syndrome also have disturbed breathing (hyperventilation). The aim of this study was to investigate the association between hyperventilation and exhaustion syndrome. Thirty patients with exhaustion syndrome and 14 healthy subjects were evaluated with the Nijmegen Symptom Questionnaire (NQ). The participants completed questionnaires about exhaustion, mental state, sleep disturbance, pain and quality of life. The evaluation was repeated 4 weeks later, after half of the patients and healthy subjects had engaged in a therapy method called ‘Grounding’, a physical exercise inspired by African dance. The patients reported significantly higher levels of hyperventilation as compared to the healthy subjects. All patients’ average score on NQ was 26.57 ± 10.98, while that of the healthy subjects was 15.14 ± 7.89 (t = −3.48, df = 42, p < 0.001). The NQ scores correlated strongly with two measures of exhaustion (Karolinska Exhaustion Scale KES r = 0.772, p < 0.01; Shirom Melamed Burnout Measure SMBM r = 0.565, p < 0.01), mental status [Hospital Anxiety and Depression Score (HADS) depression r = 0.414, p < 0.01; HADS anxiety r = 0.627, p < 0.01], sleep disturbances (r = −0.514, p < 0.01), pain (r = −.370, p < 0.05) and poor well-being (Medical Outcomes Survey Short Form 36 questionnaire- SR Health r = −0.529, p < 0.05). In the logistic regression analysis, the variance in the scores from NQ were explained to a high degree (R2 = 0.752) by scores in KES and HADS. The brief Grounding training contributed to a near significant reduction in hyperventilation (F = 2.521, p < 0.124) and to significant reductions in exhaustion scores and scores of depression and anxiety. The conclusion is that hyperventilation is common in exhaustion syndrome patients and that it can be reduced by systematic physical therapy such as Grounding.