Stress is a psychophysical condition that causes an impairment in athletes’ performance by causing an increase in sympathetic activity and an autonomic imbalance. The current methods for the measurement of psychophysiological stress introduce the use of the heart rate variability as a useful index of the well-being of these people. The heart rate variability corresponds to the time intervals between consecutive heartbeats, such as an irregularity in the normal sinus heart rhythm whose variability is due to the control exercised by a complex system of mechanisms, including the respiratory control system, and provides information about the activity of the sympathetic and parasympathetic branches of the autonomic nervous system. This review aims at summarizing the promising results, despite small amount, of the recent literature on the efficacy of heart rate variability biofeedback on the autonomic imbalance and psychophysical well-being of athletes as well as cognitive and motor performance.