It remains uncertain whether generalized anxiety disorder (GAD) and major depressive disorder (MDD) represent two separate diagnostic entities. The goal of this study was to examine whether comorbid MDD distinguishes individuals with GAD on a psychophysiological level during an experimentally-induced worrying procedure. Participants included 39 individuals with GAD, 14 of whom met the criteria for MDD. During the experimental procedure, participants were asked to worry or relax after an initial baseline phase while measuring their heart rate, high frequency heart rate variability (HF-HRV), skin conductance level, and subjective level of anxiety. The two groups did not differ in their subjective anxiety, heart rate response, and skin conductance levels. However, participants with comorbid MDD had greater HF-HRV values throughout the experiment than did those without MDD. At baseline, HF-HRV was significantly correlated with a self-report measure of depression. These results suggest that individuals with comorbid GAD and MDD can be distinguished based on HF-HRV from individuals with GAD but without MDD. These results support the distinction between GAD and MDD.