Cardiac autonomic dysregulation has been implicated in the comorbidity of major psychiatric disorders and cardiovascular disease, potentially through dysregulation of physiological responses to negative stressful stimuli (here, shortened to stress response). Further, sex differences in these comorbidities are substantial. Here, we tested the hypothesis that mood- and sex-dependent alterations in brain circuitry implicated in the regulation of the stress response are associated with reduced peripheral parasympathetic activity during negative emotional arousal. Fifty subjects (28 females) including healthy controls and individuals with major depression, bipolar psychosis and schizophrenia were evaluated. Functional magnetic resonance imaging and physiology (cardiac pulse) data were acquired during a mild visual stress reactivity challenge. Associations between changes in activity and functional connectivity of the stress response circuitry and variations in cardiovagal activity [normalized high frequency power of heart rate variability (HFn)] were evaluated using GLM analyses, including interactions with depressed mood and sex across disorders. Our results revealed that in women with high depressed mood, lower cardiovagal activity in response to negative affective stimuli was associated with greater activation of hypothalamus and right amygdala and reduced connectivity between hypothalamus and right orbitofrontal cortex, amygdala, and hippocampus. No significant associations were observed in women with low levels of depressed mood or men. Our results revealed mood- and sex-dependent interactions in the central regulation of cardiac autonomic activity in response to negative affective stimuli. These findings provide a potential pathophysiological mechanism for previously observed sex differences in the comorbidity of major depression and cardiovascular disease.