Breathing is crucial in life; nevertheless, the healthcare community often overlooks the health potential of breathing techniques. Conscious manipulation of breathing to achieve specific health goals is found in yoga, Qigong and Tai Chi. This paper reviews the value of breathing exercises as a foremost mechanism for promoting, recuperating and maintaining health. Practices involving breathing techniques are described, and their prophylactic or therapeutic characteristics are explored. The main goals of this review are: (i) to summarize the evidence supporting the hypothesis that breathing practices have a significant beneficial impact on human health; (ii) to provide a deeper understanding of traditional biofeedback practices, particularly yoga, Qigong and Tai Chi, and outline their focus on breathing techniques; (iii) to outline specific immune-related responses, relevant for COVID-19 disorders; and (iv) to call for committed attention and action from the scientific community and health agencies in promoting the implementation of a practical and costless health program based on breathing techniques. This review shows the health potentials of breathing practices and exercises, which, by having a high benefit–cost ratio, could be selected and implemented as a primary standard routine in public health programs.