Although acupuncture treatment is increasingly in demand among psychiatric patients, to date no studies have investigated the effectiveness of auricular acupuncture (AA) in treating anxiety disorders or major depressive disorder. Thus, this study aimed to compare the effectiveness of AA versus progressive muscle relaxation (PMR), a standardized and accepted relaxation method. We examined 162 patients with a primary diagnosis of anxiety disorder or major depressive disorder, and each patient chose between treatment with AA, executed according to the National Acupuncture Detoxification Association protocol, and treatment with PMR. Each group had treatments twice a week for 4 weeks. Before and after treatment, each participant rated four items on a visual analog scale: anxiety, tension, anger/aggression, and mood. Statistical analyses were performed with the original visual analog scale scores and the Change-Intensity Index, an appropriate indicator of the difference between two values of a variable. Our results show that treatment with AA significantly decreased tension, anxiety, and anger/aggression throughout the 4 weeks, but did not elevate mood. Between AA and PMR, no statistically significant differences were found at any time. Thus, we suggest that both AA and PMR may be useful, equally-effective additional interventions in the treatment of the above-mentioned disorders.