Patients with major depressive disorder (MDD) have an increased risk for cardiac events. This is partly attributed to a disbalance of the autonomic nervous system (ANS) indicated by a reduced vagal tone and a (relative) sympathetic hyperactivity. However, in most studies, heart rate variability (HRV) was only examined while resting. So far, it remains unclear whether the dysbalance of the ANS in patients with MDD is restricted to resting or whether it is also evident during sympathetic and parasympathetic activation. The aim of this study was to compare the responses of the ANS to challenges that stimulated the sympathetic and, respectively, the parasympathetic nervous systems in patients with MDD. Forty-six patients with MDD (female 27 (58.7%), mean age 44 ± 17 years) and 46 healthy controls (female 26 (56.5%), mean age 44 ± 20 years) underwent measurement of time- and frequency-dependent domains of HRV at rest, while standing (sympathetic challenge), and during slow-paced breathing (SPB, vagal, i.e., parasympathetic challenge). Patients with MDD showed a higher heart rate, a reduced HRV, and a diminished vagal tone during resting, standing, and SPB compared to controls. Patients with MDD and controls responded similarly to sympathetic and vagal activation. However, the extent of modulation of the ANS was impaired in patients with MDD, who showed a reduced decrease in the vagal tone but also a reduced increase in sympathetic activity when switching from resting to standing. Assessing changes in the ANS during sympathetic and vagal activation via respective challenges might serve as a future biomarker and help to allocate patients with MDD to therapies like HRV biofeedback and psychotherapy that were recently found to modulate the vagal tone.