Objective: There is a reciprocal association between major depressive disorder (MDD) and coronary heart disease (CHD). These conditions are linked by a causal network of mechanisms. This causal network should be quantitatively studied and it is hypothesised that the investigation of vagal function represents a promising starting point. Heart rate variability (HRV) has been used to investigate cardiac vagal control in the context of MDD and CHD. This review aims to examine the relationship of HRV to both MDD and CHD in the context of vagal function and to make recommendations for clinical practice and research. Methods: The search terms ‘heart rate variability’, ‘depression’ and ‘heart disease’ were entered into an electronic multiple database search engine. Abstracts were screened for their relevance and articles were individually selected and collated. Results: Decreased HRV is found in both MDD and CHD. Both diseases are theorised to disrupt autonomic control feedback loops on the heart and are linked to vagal function. Existing theories link vagal function to both mood and emotion as well as cardiac function. However, several factors can potentially confound HRV measures and would thus impact on a complete understanding of vagal mechanisms in the link between MDD and CHD. Conclusions: The quantitative investigation of vagal function using HRV represents a reasonable starting point in the study of the relationship between MDD and CHD. Many psychotropic and cardiac medications have effects on HRV, which may have clinical importance. Future studies of HRV in MDD and CHD should consider antidepressant medication, as well as anxiety, as potential confounders.