Background: Chemotherapy is an important treatment for cancer, yet some of its side effects are serious and painful. Many patients with cancer suffer from psychiatric disorders that most likely result from therapeutic drugs or mental strategies to cope with their illness. Progressive muscle relaxation is one of the cost effective, self-help methods that promotes mental health in healthy participants. This study aims to determine the effect of progressive muscle relaxation training on anxiety and depression in cancer patients undergoing chemotherapy.Methods: This was a randomized, clinical study that enrolled 60 patients who received inpatient chemotherapy in the Tabriz Hematology and Oncology Research Center in 2010. We divided patients into two groups, intervention and control. All participants signed written formal consents and completed the Hospital Anxiety & Depression Scale questionnaires. Intervention group participants were trained in progressive muscle relaxation in groups of 3-6 to enable participants to perform this technique when they were alone in the hospital and after discharge, two to three times each day. After one and three months, questionnaires were completed again by both groups and the results compared. 17th version of SPSS software was used for data analysis.Results:After data analysis, most participants were satisfied with learning and experiencing this technique. There was no significant difference between scales in the case and control groups after one month (P>0.05). However after three months, anxiety and depression considerably improved in patients who underwent progressive muscle relaxation training (P<0.05).Conclusion: Progressive muscle relaxation training can improve anxiety and depression in cancer patients.