Worry, which refers to uncontrollable chains of thoughts and images with negative affective load, is a transdiagnostic symptom of various mental disorders including major depressive disorder (MDD). Current theories relate excessive worry to deficient top-down control of automatically occurring perseverative thinking. This study investigated parasympathetic cardiac control in MDD in the context of worry and cognitive control. Heart rate variability (HRV) was recorded, in the high frequency (HF) and low frequency (LF) bands, in 36 MDD patients and 36 healthy controls while they performed a breathing focus task. The task included two phases during which participants' ability to concentrate on their breathing was assessed before and after an instructed worry phase. In addition to higher self-reported worry, MDD patients exhibited lower HF and LF HRV at rest, and lower LF HRV during the task than controls. MDD was also associated with impaired breathing concentration ability, more negative and neutral thought intrusions, more negative mood during breathing focus and increased stress during instructed worry. In the total sample, LF HRV correlated negatively with self-reported worry and negative thought intrusions, and positively with mood ratings. The reduction of HRV confirms the notion of low parasympathetic cardiac control in MDD. Moreover, low HRV represents a correlate of blunted prefrontal activity and impaired cognitive control that characterize the disorder. Impaired cognitive control may exacerbate worry, which is in turn involved in the genesis of aversive emotional states and maintenance of MDD.