Research suggests that multiple forms of relaxation training (e.g., progressive muscle relaxation, meditation, breathing exercises, visualization, and autogenics) can help individuals reduce stress, enhance relaxation states, and improve overall well-being. We examined three different, commonly used approaches to stress relaxation-progressive muscle relaxation, deep breathing, and guided imagery-and evaluated them in a head-to-head comparison against each other and a control condition. Sixty healthy undergraduate participants were randomized to one of the four conditions and completed 20 minutes of progressive muscle relaxation, deep breathing, or guided imagery training that was delivered by recorded audio instruction. Baseline and follow-up assessment of psychological relaxation states were completed. Physiological relaxation was also assessed continuously using measures of electrodermal activity and heart rate. Results showed that progressive muscle relaxation, deep breathing, and guided imagery all increased the state of relaxation for participants in those groups, compared to participants in the control group. In each case, the increase was statistically significant and although the groups did not differ on relaxation before training, all groups were significantly higher on relaxation after training, as compared to the control group. Progressive muscle relaxation and guided imagery showed an immediate linear trend toward physiological relaxation, compared to the control group, and the deep breathing group showed an immediate increase in physiological arousal followed quickly by a return to initial levels. Our results lend support to the body of research showing that stress relaxation training can be effective in improving relaxation states at both the psychological and physiological level. Future research could examine stress relaxation techniques in a similar manner using designs where multiple techniques can be compared in the same samples.