Relaxation phenomena in glasses are a subject of utmost interest, as they are deeply connected with their structure and dynamics. From a theoretical point of view, mechanical relaxation allows one to get insight into the different atomic-scale processes taking place in the glassy state. Focusing on their possible applications, relaxation behavior influences the mechanical properties of metallic glasses. This paper reviews the present knowledge on mechanical relaxation of metallic glasses. The features of primary and secondary relaxations are reviewed. Experimental data in the time and frequency domain is presented, as well as the different models used to describe the measured relaxation spectra. Extended attention is paid to dynamic mechanical analysis, as it is the most important technique allowing one to access the mechanical relaxation behavior. Finally, the relevance of the relaxation behavior in the mechanical properties of metallic glasses is discussed.