Anxiety is an interactive disorder of the mind and body, characterized by excessive worry about uncertain future events and a dysfunction of the autonomic nervous system. Previous studies have shown that slow, deep breathing can affect the body’s internal organs by increasing the activity levels of the vagus nerve, reducing physical tension, and anxiety. Although we know that slow and deep breathing techniques can effectively regulate anxiety and other emotions, the psychological and neurophysiological mechanisms of slow breathing on anxiety have not been systematically explored. In the study, we combined the paced breathing task with the threat uncertainty task for the first time to investigate the role of slow breathing in regulating anxiety. Here we investigated this question, using Spectral analysis of EEG to assess brain activity relating respiratory rate and he mechanism of respiratory rate impact on the anxious. Twenty-seven individuals participated in the experiment, which followed a 2 (respiratory rate: fast breathing, slow breathing) × 2 (certainty: certain, uncertain). The results of showed that: (1) Slow breathing effectively reduced anxiety, the valence and arousal are lower under the slow breathing. (2) The EEG of fast and slow breathing showed different characteristics. The delta, theta and alpha EEG power are increased during the slow-paced breathing. (3) The EEG of Respiratory rate and certainty had a significant effect on the theta power. When individuals are faced with uncertain information the theta EEG power decreased during the slow-paced breathing, however, the theta EEG power increased during the fast-paced breathing.