In this study, we have investigated how heart rate asymmetry (HRA) changes in major depressive disorder (MDD) subjects with comorbid diabetes as well as in male and female. Depression score was determined based on PHQ-9 questionnaire and from 135 subjects 70 subjects were selected with 1000 or more RR intervals. Heart rate asymmetry is a Poincaré plot based nonlinear technique to analyze the asymmetry using RR interval time-series signal. Three commonly used HRA indices Guzik's index (GI), Porta's index (PI) and Ehlers' index (EI) were used to understand the changes in HRA in MDD. Results indicate significantly (p<;0.05) different GI and EI values between `Dep' and `NonDep' subgroups in `Combined' group. All three HRA indices are found significantly different in presence of depression in female subjects. These results provide better understanding about changes in HRA in MDD and HRA indices could be a plausible nonlinear HRV feature for differentiating Depression `Dep' from NonDepression `NonDep' group - i) without comorbid diabetes; ii) in Female subjects.