Gautama self torture, holding his breath
In the ancient Hindu tradition, Tapasya or severe asceticism was the practice that was thought to give one special spiritual superhuman powers. There is some truth to that, if you think about it - it all boils down to developing will power.

What Buddha has realized, is that self-mortification and infliction of physical and psychological pain is counterproductive to the goal - however, development of will power - especially as it comes to one's ability to control one's thoughts, emotions, and the state of mind - is confirmed to be as valid as ever.

Holding one's breath is not especially more useful than any other physical exercise involving application of will power, otherwise Buddha would have taught it post-bodhi, but I'm sure there are other physical and mental exercises that can help one develop will power and control over one's attention, emotions, associations, mood, and energy - without risking health issues.