I've had this described to me as basically the combination of neuro+psychological effects of hyperventilation (respiratory alkalosis) in a peaceful/positive environment (as opposed to anxiety-attack-driven or etc.), plus the meditative effects of deep breathing, plus the meditative/brain-entrainment effects of rhythmic movement of a major central/core muscle (diaphragm). Together, those often cause euphoria, altered…
We do a terrible job at ventilating our indoor spaces. As a cave-dwelling species our brains are quite comfortable with tuning out bad smells and tolerating stale air -- but the effect of it on our mode and well-being is almost immediate. You don't notice the effect, but it is there.
That's why they tell you if the airplane's cabin depressurizes, put on your own mask first. People who don't manage to that quickly enough their eyes stay open, they don't even feel anything is wrong, but they are physically unable to put on their masks until they pass out.
If not eating proper food kills you in 3 weeks, not breathing proper air kills you in 3 minutes. Yet, people spend thousands of dollars on a new diet, but have no idea what kind of stuff are going into their lungs.
The situation is not life and death. It's feeling nice versus feeling low. People end up with indoor air that is often stale and full of volatile compounds. We often make it worse by using essential oil diffusers and not using the vent hood when cooking.
When you do a breathing exercise, all of a sudden you are giving your starving brain a dose of what it could be like. When you have a walk in the nature, you do the same.
So yes, breathing exercises are great, but it's even better if we fix our indoor environments to feel great at all times.