Patients with stroke may experience a certain degree of cognitive decline during the period of recovery, and a considerable number of such patients have been reported to show permanent cognitive damage. Therefore, the period of recovery and rehabilitation following stroke is critical for rapid cognitive functional improvements. As dysfunctional breathing has been reported as one of the factors affecting the quality of life post stroke, a number of studies have focused on the need for improving the breathing function in these patients. Numerous breathing exercises have been reported to enhance the respiratory, pulmonary, cognitive, and psychological functions. However, scientific evidence on the underlying mechanisms by which these exercises improve cognitive function is scattered at best. Therefore, it has been difficult to establish a protocol of breathing exercises for patients with stroke. In this review, we summarize the psychological, vascular, sleep-related, and biochemical factors influencing cognition in patients and highlight the need for breathing exercises based on existing studies. Breathing exercises are expected to contribute to improvements in cognitive function in stroke based on a diverse array of supporting evidence. With relevant follow-up studies, a protocol of breathing exercises can be developed for improving the cognitive function in patients with stroke.