A training device is disclosed for exercising the pubococcygeal or pelvic floor muscles, for example in the treatment of incontinence. The device includes a cylindrical, deformable probe for insertion into the vagina or rectum of a user. The probe is connected to a pressure transducer, which detects the pressure applied to the probe by contraction of the pelvic floor muscles and displays a pressure indicator to the user to help direct the contraction of the appropriate muscles. The pressure indicator may take the form of a series of nested figures, such as curves or concentric semi-circles, that incrementally converge toward a common point as pressure on the probe increases. The nested figures incrementally retreat from the common point as pressure on the probe decreases. The training unit guides a user through an exercise routine by tracking the overall exercise time and the timing between flexing and relaxation cycles. The training unit can include a controller, such as a microcontroller, that is coupled to the inflatable probe for detecting the pressure within the probe. The controller tracks the timing of exercises performed by the user and guides the user through alternating cycles of muscular contraction and relaxation to provide a safe and effective biofeedback regimen.