This study aimed to investigate the effects of progressive muscle relaxation (PMR) on the brain wave (α wave). Thirty college students were randomly allocated to experimental group (15 participants) and control group (15 participants). They were under the stress of situation with English test, then experimental group received a session of PMR for 20 min, and control group received a session of music listening. The electroencephalogram (EEG) for each participant was recorded after stress situation and after a session of PMR or music listening. Participants with PMR showed more increases alpha power than participants with music listening. The finding provides neurophysiological evidence about previous study that progressive muscle relaxation. We identified that the use of PMR had a positive effects on the relaxation state in the stressful person.