When people focus attention or carry out a demanding task, their breathing changes. But which parameters of respiration vary exactly and can respiration reliably be used as an index of cognitive load? These questions are addressed in the present systematic review of empirical studies investigating respiratory behavior in response to cognitive load. Most reviewed studies were restricted to time and volume parameters while less established, yet meaningful parameters such as respiratory variability have rarely been investigated. The available results show that respiratory behavior generally reflects cognitive processing and that distinct parameters differ in sensitivity: While mentally demanding episodes are clearly marked by faster breathing and higher minute ventilation, respiratory amplitude appears to remain rather stable. The present findings further indicate that total variability in respiratory rate is not systematically affected by cognitive load whereas the correlated fraction decreases. In addition, we found that cognitive load may lead to overbreathing as indicated by decreased end-tidal CO2 but is also accompanied by elevated oxygen consumption and CO2 release. However, additional research is needed to validate the findings on respiratory variability and gas exchange measures. We conclude by outlining recommendations for future research to increase the current understanding of respiration under cognitive load.