Active sampling in the olfactory domain is a fundamental aspect of mouse behavior, and there is increasing evidence that respiration-entrained neural activity outside of the olfactory system sets an important global brain rhythm. It is therefore crucial to accurately measure breathing during natural behaviors. We develop a new approach to do this in freely moving animals, by implanting a telemetry-based pressure sensor into the right jugular vein, which allows for wireless monitoring of thoracic pressure. After verifying this technique against standard head-fixed respiration measurements, we combined it with EEG and EMG recording and used evolving partial coherence analysis to investigate the relationship between respiration and brain activity across a range of experiments in which the mice could move freely. During voluntary exploration of odors and objects, we found that the association between respiration and cortical activity in the delta and theta frequency range decreased, whereas the association between respiration and cortical activity in the alpha range increased. During sleep, however, the presentation of an odor was able to cause a transient increase in sniffing without changing dominant sleep rhythms (delta and theta) in the cortex. Our data align with the emerging idea that the respiration rhythm could act as a synchronizing scaffold for specific brain rhythms during wakefulness and exploration, but suggest that respiratory changes are less able to impact brain activity during sleep. Combining wireless respiration monitoring with different types of brain recording across a variety of behaviors will further increase our understanding of the important links between active sampling, passive respiration, and neural activity.NEW & NOTEWORTHY Animals can alter their respiration rate to actively sample their environment, and increasing evidence suggests that neurons across the brain align their firing to this changing rhythm. We developed a new approach to measure sniffing in freely moving mice while simultaneously recording brain activity, and uncovered how specific cortical rhythms changed their coherence with respiration rhythm during natural behaviors and across arousal states.