Depression is the leading cause of disease burden globally. Existing antidepressant treatments that target the central nervous system have limited efficacy and come at the cost of significant side effects. Thus, there is growing interest in novel therapeutic interventions for the prevention and treatment of depression, including interventions that target interoceptive signaling. The thermosensory system may hold particular promise, given evidence that depression is associated with impairments in thermosensory functioning, and that whole-body hyperthermia produces an antidepressant effect in patients with major depressive disorder. In this study, we investigated whether the severity of depressive symptoms in a non-clinical population moderated the effect of local skin warming on subjective and physiological stress responses following exposure to an acute social stressor. Following exposure to the stressor, participants (N = 90) rested their arm on a heat blanket that was either turned on (local skin warming condition) or left off (control condition). We demonstrate that local skin warming increased fingertip temperature, a marker of reduced sympathetic nervous system activity, but only for participants with high levels of depressive symptoms. While local skin warming also inhibited salivary alpha amylase, severity of depressive symptoms did not moderate this effect, and no effect was found for electrodermal activity. These data highlight the importance of incorporating peripheral physiology in our conceptualization of the pathophysiology of depression and show that changes in sympathetic nervous system activity may underpin the antidepressant effect of warm stimuli.