A common question we get is, "Am I breathing right?" The answer is always "YES!" While of course there is a rhyme and reason to the coordination of inhales and exhales with each Pilates exercise, breathing in general is a VERY good thing. One of the worst things that clients can do when they first try Pilates is hold the breath because they are fearful of getting the "breath wrong".
On top of that, when Joseph Pilates created his technique, he often inhaled on exertion, while exhaling on exertion is more common in other forms of exercise. (If you were attempting to pick up a piano, you surely would brace and exhale as you lift).
Breathing is only as good as it efficacy in promoting relaxation and flow. Deep and fluid breathing promotes relaxation, and, more specifically, breathing through the nose helps stimulate the parasympathetic nervous system, which is scientifically known to calm the nerves. In addition, many of the muscles that control respiration on a secondary level contribute directly to good posture. Shallow breathing or even holding one's breath could then cause tension in both the body and the postural muscles. Whatever you do, don't hold your breath when doing your Pilates workouts.
The "choreography", if you will, of breath in the Pilates repertoire is designed to both facilitate proper execution of the exercises AND promote relaxation. If getting "the breath right", is stressing you out, then abandon the breath for a bit and come back when you're ready. Remember, when in doubt, EXHALE..... you'll always inhale naturally thereafter.
This picture from a FABULOUS article on the Nervous System explains the importance of the parasympathetic nervous system. Check out the article here: http://myindigomuse.com/blog/2016/05/06/the-bodys-freeze-response-the-dark-side-of-crash-diet-drill-style-weight-loss