The aim of this study was to investigate the effect of progressive muscle relaxation on affective well-being (anxiety and mood), cognitive variables (sustained attention and reaction time), and aggressive behavior in female athletes during menstruation. Forty-five athletes age 18–22 years were randomly assigned to three groups: an experimental group (n = 15) undergoing eight sessions of 30-min progressive muscle relaxation, a breathing group (n = 15) engaging in eight sessions of 30-min deep breathing, and a control group (n = 15) receiving no intervention. The participants were evaluated during menstruation, at baseline, and after the intervention. Results showed significant improvements in mood (ηP2=.27) and anxiety (ηP2=.2) in the experimental group compared with the breathing group and the control group. No significant effects were found for aggressive behavior and cognitive variables. Progressive muscle-relaxation training is beneficial for improving mood and reducing anxiety in sportswomen during menstruation.