If depressive symptoms are not caused by the physiological effects of a substance or other medical or neurological conditions, they are generally classified as mental disorders that target the central nervous system. However, recent evidence suggests that peripheral neural dynamics on cardiovascular control play a causal role in regulating and processing emotions. In this perspective, we explore the dynamics of the Central-Autonomic Network (CAN) and related brain-heart interplay (BHI), highlighting their psychophysiological correlates and clinical symptoms of depression. Thus, we suggest that depression may arise from dysregulated cardiac vagal and sympathovagal dynamics that lead to CAN and BHI dysfunctions. Therefore, treatments for depression should target the nervous system as a whole, with particular emphasis on regulating vagal and BHI dynamics.