Stays at high altitude induce alterations in cardiovascular control and are a model of specific pathological cardiovascular derangements at sea level. However, high-altitude alterations of the complex cardiovascular dynamics remain an almost unexplored issue. Therefore, our aim is to describe the altered cardiovascular complexity at high altitude with a multiscale entropy (MSE) approach. We recorded the beat-by-beat series of systolic and diastolic blood pressure and heart rate in 20 participants for 15 min twice, at sea level and after arrival at 4554 m a.s.l. We estimated Sample Entropy and MSE at scales of up to 64 beats, deriving average MSE values over the scales corresponding to the high-frequency (MSEHF) and low-frequency (MSELF) bands of heart-rate variability. We found a significant loss of complexity at heart-rate and blood-pressure scales complementary to each other, with the decrease with high altitude being concentrated at Sample Entropy and at MSEHF for heart rate and at MSELF for blood pressure. These changes can be ascribed to the acutely increased chemoreflex sensitivity in hypoxia that causes sympathetic activation and hyperventilation. Considering high altitude as a model of pathological states like heart failure, our results suggest new ways for monitoring treatments and rehabilitation protocols.