IntroductionThere is a lack of research on the effect of progressive muscle relaxation (PMR) on minimising test anxiety and enhancing sleep quality among nursing students in Arab countries, including Palestine. Therefore, this study aimed to investigate the effects of a PMR intervention programme on test anxiety and sleep quality in fourth‐year nursing students before the comprehensive examination in Palestine.MethodsA one‐group pre‐/postdesign was conducted on a group of fourth‐year nursing students before the comprehensive examination (N = 60) at Arab American University in Palestine. The PMR programme consisted of five sessions lasting 45 min over the course of 1 week and was implemented from the beginning of January to the end of January 2024.ResultsFindings indicated a significant difference in test anxiety pre‐ and post‐PMR exercise (t[59] = 19.3, p < .01). Also, a significant difference was found in sleep quality before and after the PMR exercise (t[59] = 15.4, p < .01). Additionally, no difference was found in test anxiety and sleep based on age and gender pre‐/post‐PMR intervention programme.ConclusionThis study proposes that PMR effectively reduces test anxiety and improves sleep quality among nursing students. Therefore, the PMR programme should be incorporated as a therapeutic intervention for nursing students and students in general and particularly those suffering from test anxiety and poor sleep quality. Also, mental health counsellors and instructors can use such interventions in their therapeutic management as non‐pharmacological therapy.