For me it works (worked?) in a two step way: I often chronically hyperventilated, which brings on - or worsens - anxiety. That anxiety then makes the pain feel even worse. The combination felt like my body was on a roller coaster, and I had no control over it whatsoever.

Since learning a few breathing techniques - including deep relaxation - I have almost complete control over my breathing, learned to recognize the onset of hyperventilation, and act accordingly instead of just freaking out.

I was very skeptical when I started it, and was very surprised at how well it works. For me, less anxiety = less pain.