(1) Background: Previous systematic review suggested a beneficial effect of progressive muscle relaxation (PMR) for cancer patients receiving chemotherapy. However, poor quality of eligible studies impaired the reliability and validity of findings. Moreover, additional potential studies with good quality published in Chinese language have been published recently. The aim of the present systematic review was to investigate the value of PMR training in preventing and alleviating nausea and vomiting caused by chemotherapy among cancer patients. (2) Methods: We assigned two independent investigators to search all potential studies in PubMed, Cochrane Controlled Register of Trial (CENTRAL), Cumulative Index to Nursing and Allied Health Literature (CINAHL), China Biomedical Literature database (CBM), China National Knowledge Infrastructure (CNKI), and Wanfang data. We used data extraction sheet extracted all essential information, and used the Cochrane risk of bias assessment tool to appraise the quality of eligible studies. Finally, we qualitatively summarized the results of all included studies. (3) Results: Six studies enrolling 288 patients were considered to meet our selection criteria finally. Of these 6 studies, three were labeled as moderate quality, and the remaining studies were low quality. All included studies consistently suggested that PMR has a positive impact on nausea and vomiting caused by chemotherapy among cancer patients especially alleviating the incidence, frequency and degree of delayed nausea and vomiting. (4) Conclusions: Independent studies indicated that PMR was a beneficial approach to prevent and alleviate nausea and vomiting caused by chemotherapy among cancer patients. However, further studies considering other types of primary tumors should be designed in order to increase the generality of PMR because studies included in the present systematic review mainly enrolled lung cancer and breast cancer.