It is widely recognized that police performance may be hindered by psychophysiological state changes during acute stress. To address the need for awareness and control of these physiological changes, police academies in many countries have implemented Heart-Rate Variability (HRV) biofeedback training. Despite these trainings now being widely delivered in classroom setups, they typically lack the arousing action context needed for successful transfer to the operational field, where officers must apply learned skills, particularly when stress levels rise. The study presented here aimed to address this gap by training physiological control skills in an arousing action context. We developed a Virtual-Reality (VR) breathing-based biofeedback training in which police officers perform deep and slow diaphragmatic breathing in an engaging game-like action context. This VR game consisted of a selective shoot/don’t shoot game designed to assess response inhibition, an impaired capacity in high arousal situations. Biofeedback was provided based on adherence to a slow breathing pace: the slower and deeper the breathing, the less constrained peripheral vision became, facilitating accurate responses to the in-game demands. A total of nine male police trainers completed 10 sessions over a 4-week period as part of a single-case experimental ABAB study-design (i.e., alternating sessions with and without biofeedback). Results showed that eight out of nine participants showed improved breathing control in action, with a positive effect on breathing-induced low frequency HRV, while also improving their in-game behavioral performance. Critically, the breathing-based skill learning transferred to subsequent sessions in which biofeedback was not presented. Importantly, all participants remained highly engaged throughout the training. Altogether, our study showed that our VR environment can be used to train breathing regulation in an arousing action context.