Dolphins are conscious breathers, which means they have to think about every time they want to take a breath. They respire through a nasal opening called the blowhole, which is located on the top of their head. When resting, their blowhole remains tightly shut. They are able to hold their breath for an average of 4-5 minutes and a maximum of about 10 minutes. Dolphins are efficient breathers. Dolphins are mammals, therefore they can't breathe underwater.
Dolphins do not breathe under water as they are mammals. They just can hold their breath far longer than humans. This is due to a superior lung capacity (almost 8-9 times a human beings') and more efficient storage of oxygen so it does not get depleted as fast as in our body. In the end, to breathe, they have to come to the surface.