Chronic stress is one of the major problems in our current fast paced society. The body reacts to environmental stress with physiological changes (e.g. accelerated heart rate), increasing the activity of the sympathetic nervous system. Normally the parasympathetic nervous system should bring us back to a more balanced state after the stressful event is over. However, nowadays we are often under constant pressure, with a multitude of stressful events per day, which can result in us constantly being out of balance. This highlights the importance of effective stress management techniques that are readily accessible to a wide audience. In this paper we present an exploratory study investigating the potential use of immersive virtual reality for relaxation with the purpose of guiding further design decisions, especially about the visual content as well as the interactivity of virtual content. Specifically, we developed an underwater world for head-mounted display virtual reality. We performed an experiment to evaluate the effectiveness of the underwater world environment for relaxation, as well as to evaluate if the underwater world in combination with breathing techniques for relaxation was preferred to standard breathing techniques for stress management. The underwater world was rated as more fun and more likely to be used at home than a traditional breathing technique, while providing a similar degree of relaxation.