Background: Measures for the irregularity of the heartbeat, for example respiratory sinus arrhythmia, have been implicated as a measure for restorative functions of the vegetative nervous system. Methods: In the current observational study, we investigated 265 subjects, 70 of whom had a lifetime history of major depression, with a plethysmographic heartbeat monitor, blood sampling, as well as a range of psychiatric questionnaires. Results: Subjects with a history of MDE had significantly reduced respiratory sinus arrhythmia (RSA) as compared to never-depressed controls; in the whole sample, higher RSA went with lower anxiety/fear variables, especially in subscores related to cardiac symptoms as well as being afraid of dying. A reduced RSA was also associated with an increased concentration of cytokines (TNFa, IL1a, IL6, IFNg) and thyroid-stimulating hormone in the serum, pointing to a possible triangular relationship between immune system, vegetative nervous system, and emotional dysregulation. Limitations: We used a plethysmographic device for the measurement of heartbeat instead of an electrocardiogram, and had a single time point only. Conclusions: This data corroborate the idea that a disequilibrium of the vegetative nervous, especially if accompanied by a dysregulation system in immune function, can increase the risk for depression. Conversely, vagal stimulation and anti-inflammatory treatments may support the treatment with antidepressants.