Executive function impairments have been frequently observed in depressive disorders. Moreover, reduced heart rate variability (HRV) has repeatedly been described, especially in the high frequency band (i.e., respiratory sinus arrhythmia, RSA), suggesting lower vagal cardiac outflow. The study tested the hypothesis of involvement of low vagal tone in executive dysfunction in depression. In addition to RSA, HRV in the low frequency (LF) band was assessed. In 36 patients with depression and 36 healthy subjects, electrocardiography recordings were accomplished at rest and during performance of five executive function tasks (number-letter task, n-back task, continuous performance test, flanker task, and antisaccade task). Patients displayed increased error rates and longer reaction times in the task-switching condition of the number-letter task, in addition to increased error rates in the n-back task and the final of two blocks of the antisaccade task. In patients, both HRV parameters were lower during all experimental phases. RSA correlated negatively with reaction time during task-switching. This finding confirms reduced performance across different executive functions in depression and suggests that, in addition to RSA, LF HRV is also diminished. However, the hypothesis of involvement of low parasympathetic tone in executive dysfunction related to depression received only limited support.