Breathing techniques are regularly recommended for relaxation, stress management, control of psychophysiological states, and to improve organ function. Yogic breathing, defined as a manipulation of breath movement, has been shown to positively affect immune function, autonomic nervous system imbalances, and psychological or stress-related disorders. The aim of this study was to assess and provide a comprehensive review of the physiological mechanisms, the mind–body connection, and the benefits of Sudarshan Kriya Yoga (SKY) in a wide range of clinical conditions. Various online databases searched were Medline, Psychinfo, EMBASE, and Google Scholar. All the results were carefully screened and articles on SKY were selected. The references from these articles were checked to find any other potentially relevant articles. SKY, a unique yogic breathing practice, involves several types of cyclical breathing patterns, ranging from slow and calming to rapid and stimulating. There is mounting evidence to suggest that SKY can be a beneficial, low-risk, low-cost adjunct to the treatment of stress, anxiety, post-traumatic stress disorder, depression, stress-related medical illnesses, substance abuse, and rehabilitation of criminal offenders.