The goal of this study was to evaluate the changes in heart rate variability (HRV) parameters due to a specific physical, mental or combined load. More specifically, the difference in effect between mental load and physical activity is studied. In addition, the effect of the combined physical and mental demand on the HRV parameters was examined and compared with the changes during the single task. In a laboratory environment, 28 subjects went through a protocol with different types of load (physical and/or mental), each followed by a period of rest. Continuous wavelet transformation was applied to create time series of instantaneous power and frequency in specified frequency bands (LF and HF). HF could distinguish the active conditions from the rest condition, meaning that HRV is sensitive to any change in mental or physical state. Differences in HRV parameters were observed between physical, mental and the combined load. In conclusion, we were able to distinguish between rest, physical and mental condition by combining different HRV characteristics. The addition of a mental load to a physical task had an extra effect on the HRV characteristics.