The natural tendency of the mind to wander (i.e., mind wandering), is often connected to negative thoughts and emotional states. On the other hand, mindfulness (i.e., the ability to focus one\'s attention on the present moment in a non-judgmental way) has acquired a growing interest in recent years given its beneficial role in improving awareness and self-regulation. Starting from previous evidence, this study aims to clarify the psychological, physiological, and affective impact of a mindfulness exercise on mind wandering. Twenty-eight non-expert female meditators were recruited for this study. Heart rate variability (HRV), state mindfulness, mind wandering manifestations, and affective states, were recorded during a baseline condition, a mindfulness breathing observation exercise, and a final rest condition. Subjects reported significant decreases in mind wandering comparing baseline and mindfulness. Changes in mind wandering were mirrored by changes in HRV, with higher HRV during the breathing observation exercise. Significant associations were found between scores of mindfulness, mind wandering, and affective states measured during the task. Our findings confirmed the role of mindfulness in reducing mind wandering and increasing HRV. Results are discussed considering mindfulness associations with self-regulation and well-being.