The periaqueductal gray (PAG) plays a critical role in autonomic function and behavioural responses to threatening stimuli. Recent evidence has revealed the PAG's potential involvement in the perception of breathlessness, a highly threatening respiratory symptom. In this review, we outline the current evidence in animals and humans on the role of the PAG in respiratory control and in the perception of breathlessness. While recent work has unveiled dissociable brain activity within the lateral PAG during perception of breathlessness and ventrolateral PAG during conditioned anticipation in healthy humans, this is yet to be translated into diseases dominated by breathlessness symptomology, such as chronic obstructive pulmonary disease. Understanding how the sub-structures of the PAG differentially interact with interoceptive brain networks involved in the perception of breathlessness will help towards understanding discordant symptomology, and may reveal treatment targets for those debilitated by chronic and pervasive breathlessness.