Background: Esketamine has received approval as a nasal spray (ESK-NS) for treatment-resistant depression (TRD) and evidence from real-world investigations has confirmed the effectiveness of ESK-NS, albeit with interindividual differences in response. Heart rate variability (HRV), defined as the fluctuation in time interval between consecutive heartbeats, can be used to measure autonomic dysfunction in psychiatric disorders and its role has been investigated in diagnosis and prognosis of depression. Methods: This preliminary report aims to evaluate HRV parameters and their association with treatment outcome in 18 patients (55.6% males, 55.6 ± 9.39 years old) with TRD treated with a target dose of ESK-NS for one month (mean dose: 80.9 ± 9.05 mg). The Beck Depression Inventory (BDI) and a 3 min resting electrocardiogram were used to assess changes in depressive symptoms and HRV measurements before and after treatment. Results: Responders (n = 8, 44.5%; based on ≥30% BDI scores reduction) displayed lower HRV values than non-responders at baseline (p = 0.019), which increased at one month (p = 0.038). Receiver-Operating Characteristic (ROC) curves obtained from a logistic regression displayed a discriminative potential for baseline HRV in our sample (AUC = 0.844). Conclusions: These preliminary observations suggest a mutual interaction between esketamine and HRV, especially in relation to treatment response. Further studies are required to investigate electrophysiological profiles among predictors of response to ESK-NS and allow for personalized intervention strategies in TRD that still represent a public health concern.