There is a bidirectional relationship between affective disorders and cardiovascular abnormalities, often described as a downward spiral, whereas major depressive disorders (MDD, and anxiety disorders) significantly increase the risk of developing cardiovascular diseases (CVD); CVD are also associated with increased risk of developing MDD (and anxiety disorders). Moreover, the prognosis and progression of CVD is significantly worsened in the presence of MDD. Heart rate variability (HRV) has often been suggested as a potential mediator in this comorbidity. In this review, we discuss HRV alterations in MDD. However, we mainly focus on the direct relationship between HRV alterations and psychiatric symptoms, rather than its relationship with CVD, as this has been reviewed elsewhere. After a general introduction to HRV and how it can be measured, we review how HRV is altered in MDD. We subsequently describe how antidepressant drugs affect HRV, showing that some classes (such as tricyclics) generally worsen HRV, whereas others (most notably selective serotonin reuptake inhibitors) have a more positive influence. We also review the effects of several other treatments, with a special focus on vagal nerve stimulation, finishing with some further considerations and recommendation for further research, both in humans and animals.