Experiencing intense stress in childhood and adolescence can increase the likelihood of mental and physical illness. This makes learning adaptive coping strategies at an early age all the more important. A key component of stress management programs is the use of relaxation exercises, for example through slow, deep breathing as in heart coherence exercises (HCE, 6 breaths per minute, inhaling and exhaling for 5 seconds each). These breathing exercises are also increasingly being integrated into smartphones as part of health apps, although their effectiveness in acute stress situations has rarely been scientifically validated. The aim of the study was to investigate the effectiveness of an app-guided HCE (n = 36) after an acute stress situation (Trier Social Stress Test) in comparison to the natural relaxation (NR, n = 37) responses of healthy adolescents between 11 and 17 years. Therefore, endocrine, autonomic, and psychological stress parameters (cortisol, alpha-amylase, heart rate, heart rate variability, mood) were examined. Significant group differences were found in heart rate variability, with higher values in the low-frequency band and in the low-to-high frequency ratio for the HCE condition. These results may indicate improved physiological functions through the stimulation of vagal tone and baroreflex. Implications and the effectiveness of app-guided breathing exercises for stress management in adolescents are discussed.