Because most humans live and work in populated environments, researchers recently took into account that people may not only experience first-hand stress, but also second-hand stress related to the ability to empathically share another person’s stress response. Recently, researchers have begun to more closely examine the existence of such empathic stress and highlighted the human propensity to physiologically resonate with the stress responses of others. As in case of first-hand stress, empathic stress could be deleterious for health if people experience exacerbated activation of hypothalamic–pituitary–adrenal and autonomic nervous systems. Thus, exploring empathic stress in an observer watching someone else experiencing stress is critical to gain a better understanding of physiological resonance and conduct strategies for health prevention. In the current study, we investigated the influence of empathic stress responses on heart rate variability (HRV) with a specific focus on nonlinear dynamics. Classic and nonlinear markers of HRV time series were computed in both targets and observers during a modified Trier social stress test (TSST). We capitalized on multiscale entropy, a reliable marker of complexity for depicting neurovisceral interactions (brain-to-heart and heart-to-brain) and their role in physiological resonance. State anxiety and affect were evaluated as well. While classic markers of HRV were not impacted by empathic stress, we showed that the complexity marker reflected the existence of empathic stress in observers. More specifically, a linear model highlighted a physiological resonance phenomenon. We conclude on the relevance of entropy in HRV dynamics, as a marker of complexity in neurovisceral interactions reflecting physiological resonance in empathic stress.