The comorbidity of major depressive disorder (MDD) and cardiovascular disease (CVD) is among the 10th leading cause of morbidity and mortality worldwide. Thus, understanding the co-occurrence of these disorders will have major public health significance. MDD is associated with an abnormal stress response, manifested in brain circuitry deficits, gonadal dysfunction, and autonomic nervous system (ANS) dysregulation. Contribution of the relationships between these systems to the pathophysiology of MDD is not well understood. The objective of this preliminary study was to investigate, in parallel, relationships between HPG-axis functioning, stress response circuitry activation, and parasympathetic reactivity in healthy controls and women with MDD. Using fMRI with pulse oximetry [from which we calculated the high frequency (HF) component of R-R interval variability (HF-RRV), a measure of parasympathetic modulation] and hormone data, we studied eight women with recurrent MDD in remission and six controls during a stress response paradigm. We demonstrated that hypoactivations of hypothalamus, amygdala, hippocampus, anterior cingulate cortex (ACC), orbitofrontal cortex (OFC), and subgenual ACC were associated with lower parasympathetic cardiac modulation in MDD women. Estradiol and progesterone attenuated group differences in the effect of HF-RRV on hypoactivation in the amygdala, hippocampus, ACC, and OFC in MDD women. Findings have implications for understanding the relationship between mood, arousal, heart regulation, and gonadal hormones, and may provide insights into MDD and CVD risk comorbidity.