Breathing is a natural and necessary process for humans. At the same time, the respiratory pace and frequency can vary so much, depending on the status of the subject. Specifically, in sports, breathing can have the effect of limiting performance from a physiological point of view, or, on the other hand, breathing can regulate the psychological status of the athletes. Therefore, the aim of this narrative review is to focus on the literature about the physiological and psychological aspects of breathing pace in sports performance, merging these two aspects because they are usually considered split, in order to create a new integrated vision of breathing and sports performance. Voluntary breathing can be divided into a slow or fast pace (VSB and VFB, respectively), and their effects on both the physiological and psychological parameters are very different. VSB can benefit athletes in a variety of ways, not just physically but mentally as well. It can help improve cardiovascular fitness, reduce stress and anxiety, and improve overall health and well-being, allowing athletes to maintain focus and concentration during training and competition. VFB is normal during physical training and competition, but away from training, if it is not voluntary, it can cause feelings of anxiety, panic, dizziness, and lightheadedness and trigger a stress response in the body, affecting the athlete’s quality of life. In summary, the role of breathing in the performance of athletes should be considered, although no definitive data are available. The connection between breathing and sports performance is still unclear, but athletes can obtain benefits in focus and concentration using slow breathing strategies.