Designing emotional intelligence training programs requires first testing the effectiveness of techniques targeting its main dimensions. The aim of this study was to investigate the effects of a brief slow-paced breathing (SPB) exercise on psychophysiological variables linked to emotion regulation, namely cardiac vagal activity (CVA), as well as perceived stress intensity, emotional arousal, and emotional valence. A total of 61 participants completed a 5-min SPB exercise and a control condition of a 5-min rest measurement. CVA was indexed with the root mean square of successive differences (RMSSD). Participants were also asked to rate their perceived stress intensity, emotional arousal, and emotional valence. Results showed that CVA was higher during SPB in comparison to the control condition. Contrary to our hypothesis, perceived stress intensity and emotional arousal increased after SPB, and perceived emotional valence was less positive after SPB. This could be explained by experiencing dyspnea (i.e., breathing discomfort), and the need to get acclimatized to SPB. Consequently, we may conclude that although physiological benefits of SPB on CVA are immediate, training may be required in order to perceive psychological benefits.