The purpose of the present study was to find out the effectiveness Psychological Relaxation Technique on the cognitive state Anxiety of Athlete. The study was conducted on two hundred (N= 200) university level players of individual sports. These 200 athletes were divided into five groups, 40 in each group of Galvanic Skin Response, Electromyography, Autogenic Training and PMR and Yog Nidra respectively. All are of 18 to 28 years of age to find out the effectiveness of Psychological Relaxation Technique on cognitive state Anxiety level of Athletes. Firstly, all subjects were given an informed consent letter to sign to be a subject for the present study with their own will. The researcher was ask the player to fill the The Competitive State Anxiety Inventory-2 (CSAI-2) by Rainer Marten questionnaire and after conducting the test the investigator collected pre score of cognitive state anxiety. These five different groups were exposed to selected psychological relaxation techniques. Then to observe the effect of these relaxation techniques ANCOVA is applied followed by pair wise comparison to see the least significant difference. The level of signifance choose in to test the hypotheses was 0.05, P < 0.05. Results GSR and Electromyography shown the significant difference in comparison to other relaxation techniques.