Chronic loneliness and low perceived social support have been recognized as risk factors for both mental and cardiovascular disorders. It has been proposed that their link to psychophysiological problems may involve changes in parasympathetic activity. However, the exact underlying psychopathological mechanisms and the moderating effects of gender are still not thoroughly examined. Thus, the present study investigated associations between perceived social functioning and resting vagal tone in the context of potential cognitive and subclinical mediators and gender differences. Three hundred twenty‐five young adults (aged 18–35, 180 women) underwent an electrocardiogram measurement of 6‐minute resting heart rate variability (HRV). They also completed questionnaires assessing loneliness, perceived social support, social cognitive biases, depressive and social anxiety symptoms, and general mental health. In men, HRV was significantly and negatively associated with poorer perceived social functioning, depressive symptoms, and self‐reported social cognitive biases, while in women, there was a quadratic link between HRV and depressive symptoms and HRV and general mental health. Moderated mediation analysis revealed that depressive symptoms fully mediated the relationship between perceived social functioning and HRV in men. The results suggest that decreased resting vagal tone in lonely individuals is linked to depressive symptomatology rather than to specific social cognitive biases and that this association is significant only in men.