Higher negative affectivity (NA) has an association with decreased executive function and cognitive control. Heart rate variability (HRV) may index cardiac vagal regulation differences in the autonomic nervous system (ANS) for both cognition and emotion. The current study investigates this association using a set-shifting variant of the Virtual Morris Water Task (VMWT) to study discrimination learning, spatial learning, reversal learning, and attentional set-shifting in a virtual environment. 73 participants completed affective questionnaires (Beck Depression Inventory-II, Beck Anxiety Inventory, Positive and Negative Affective Scale), a 5-minute baseline electrocardiogram, and the VMWT. Individuals who failed to complete the task exhibited significantly lower baseline RMSSD then those who completed the task. There was no direct effect between affective measures and task performance. Higher baseline HRV was predictive of better performance during set-shifting. Trait NA moderated the effect of baseline HRV, as well as trait positive affectivity (PA), on performance during the extradimensional shift condition. Increased behavioral flexibility performance was only predicted by higher HRV and PA in low NA individuals. High trait NA negates the positive effects of HRV and PA on behavioral flexibility.