Research involving working memory has indicated that stress and anxiety compete for attentional resources when a person engages in attention-dependent cognitive processing. The purpose of this study was to investigate the impact of perceived stress and state anxiety on working memory and academic performance among health science students and to explore whether the reduction of stress and anxiety was achieved through progressive muscle relaxation (PMR) training. A convenience sample of 128 graduate students participated in this study. Using an experimental pretest–posttest design, we randomly assigned participants to a PMR group or a control group. Results indicated that PMR reduced state anxiety, F(1, 126) = 15.58, p < .001, thereby freeing up working memory and leading to improved academic performance in the treatment group. The results of this study contribute to the literature on Attentional Control Theory by clarifying the process through which working memory and anxiety affect cognitive performance.