This study aimed at evaluating the possible benefits of starting Integrative Improvisational Music Therapy (IIMT) sessions with 10 min of Resonance Frequency Breathing (RFB), a type of slow breathing known to be beneficial for stress reduction and emotional regulation. A client diagnosed with anxiety disorder and social phobia attended 12 IIMT sessions. Using an alternating treatments design, RFB was systematically alternated with a control intervention (vibroacoustic therapy, VAT). Therapy processes were assessed through the Session Evaluation Questionnaire (SEQ) and the continuous measurement of heart rate variability (HRV), a biomarker of autonomic nervous system response. RFB was consistently accompanied by higher HRV and followed by lower Arousal, when compared to VAT. The music psychotherapy process displayed two phases, with the first being emotionally more challenging than the second. In the first phase, the high frequency HRV component (HFnu) during music improvisations and Positivity scores were comparatively higher in sessions starting with RFB, whereas in the second phase, post-session Smoothness and Positivity were comparatively lower after RFB. The therapy outcome was positive, with marked symptom improvements. RFB appeared to have functioned as an adaptive intervention, modulating the emotional difficulty of the sessions according to the therapy phase and the client’s current needs.