Research on reliability of heart rate variability (HRV) parameters in athletes has received increasing attention. The aims of this study were to examine the inter-day reliability of short-term (5 min) and ultra-short-term (1 min) heart rate (HR), respiratory rate (RespRate) and HRV parameters, agreement between short-term and ultra-short-term parameters, and association between differences in HR, RespRate and HRV parameters in elite modern pentathletes. Electrocardiographic recordings were performed in stable measurement conditions with a week interval between tests. Relative reliability was evaluated by intra-class correlation coefficients, absolute reliability was evaluated by within-subject coefficient of variation, and agreement was evaluated using Bland–Altman (BA) plot with limits of agreement and defined a priori maximum acceptable difference. Short-term HR, RespRate, log transformed (ln) root mean square of successive normal-to-normal interval differences (lnRMSSD), ln high frequency (lnHF) and SD2/SD1 HRV indices and ultra-short-term HR, RespRate and lnRMSSD presented acceptable, satisfactory inter-day reliability. Although there were no significant differences between short-term and ultra-short-term HR, RespRate and lnRMSSD, no parameter showed acceptable differences with BA plots. Differences in time-domain and non-linear HRV parameters were more correlated with differences in HR than with differences in RespRate. Inverse results were observed for frequency-domain parameters. Short-term HR, RespRate, lnRMSSD, lnHF, and SD2/SD1 and ultra-short-term HR, RespRate and lnRMSSD could be used as reliable parameters in endurance athletes. However, practitioners should interpret changes in HRV parameters with regard to concomitant differences in HR and RespRate and caution should be taken before considering 5 min and 1 min parameters as interchangeable.