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I've noticed this about myself sometimes when running or even when at work and a little stressed. I don't always naturally breathe deep (or IMO deep enough). If I catch it (often times I won't even think about it), I can simply tell myself to breathe deeper and I'll feel much better and have more energy when I'm running.
I have similar issues. Growing up I was a mouth breather and it wasn't until a few years ago when I went through myofunctional therapy that I could actually breathe through my nose! I learned how to consciously breathe from my diaphragm and along with some daily tongue exercises, I keep a small rubber band in my mouth on the tip of my tongue to remind myself to keep my tongue on the roof of my mouth.
Even 4.5 years later, my deep, nasal breathing is still conscious, and not second nature. I've even had bite correction surgery and a septoplasty and it's still a daily habit I need to be conscious of.
When I exercise, esp. running, I find it takes more effort to breathe deeply from my diaphragm through my nose but my stamina and endurance both increase when I do and I can run faster and push myself harder.
Yeah, it's not easy, and I look forward to the day when this is all second nature (I was told 7 years unfortunately). But I will keep fighting to breathe properly!