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 () and anxiety () 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.