One reason is because deep breathing increases carbon dioxide levels in the blood, which quiets down parts of the brain, like the amygdala, that handle your anxiety response. It also helps synchronize your heartbeat and breathing. [Source](https://rightasrain.uwmedicine.org/mind/stress/why-deep-breathing-makes-you-feel-so-chill#:~:text=Deep%20breathing%20(sometimes%20called%20diaphragmatic,span%20and%20lower%20pain%20levels.) for more info on that.
Other reasons can generally be described as reversing the cause/effect chain of the sympathetic nervous system, but that’s an oversimplification. Think of it this way, if stress causes things like increased heartrate, dilated blood vessels in skeletal muscle, and whatnot, diaphragmatic breathing uses all sorts of mechanisms (cellular, mechanical, etc.) to reverse that flow. It would be like if stress caused the head of a drum to vibrate faster and faster, and diaphragmatic breathing was essentially you placing your hand on the drum to reduce those vibrations. [Here is a pretty good article](https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7602530/#:~:text=Diaphragmatic%20motion%20in%20breathing%20directly,by%20modulating%20intra%2Dabdominal%20pressure.) on some of that.
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