RSA-BT (Respiratory Sinus Arrhythmia biofeedback-based Breathing Training) is a cardio-respiratory intervention that has been commonly used as a complementary treatment to respiratory diseases, as well as an exercise to help manage stress and anxiety. Despite its health benefits, today's RSA-BT still relies on in-person sessions and cumbersome sensing devices in a clinical setting, which limits its accessibility. In this paper, we propose BreathCoach, a smart and unobtrusive system that enables effective in-home RSA-BT using sensors on a smartwatch and smartphone-based VR. Specifically, BreathCoach continuously measures key bio-signals including breathing pattern (BP), inter-beat interval (IBI), amplitude of RSA, and intelligently calculates the optimal BP based on current and historical measurements. The recommended BP is conveyed to users through a VR game to provide intuitive guidance. BreathCoach is implemented on a smartphone and a smartwatch with two proof-of-concept VR games. We conducted experiments with 10 participants and evaluated BreathCoach in three aspects: accuracy of physiological measurement, effectiveness of training, and user experience. The results suggest that BreathCoach is able to reliably measure needed bio-signals and intelligently calculate BP recommendations which result in improved performance compared with the traditional approach.