Vagally mediated heart rate variability (HRV) is a measure of parasympathetic modulation of the heart, which is considered an index of the ability to regulate emotional arousal attuned to environmental demands. The present study explores the association between HRV and exhaustion-the core symptom of burnout. Based on the multilevel model of employee well-being, we hypothesize that neuroticism moderates the relationship between HRV and exhaustion. We collected data among 271 workers (57.92% women, mean age M = 41.21 years, SD = 13.94), whose HRV was measured over the course of one working day, while exhaustion was measured at the end of the same working day. Neuroticism and covariates were measured at baseline, prior to the examined working day. Results from multiple linear regression models revealed that HRV was negatively related to exhaustion, even after controlling for exhaustion measured at baseline. In addition, as hypothesized, trait neuroticism moderated the negative association between HRV and exhaustion at the end of the working day such that it was stronger for workers high (i.e., +1 SD) versus low (i.e., −1 SD) in neuroticism. The test for constant variance pointed to high-neuroticism workers with low HRV as the group more at-risk of developing exhaustion-related symptoms. We discuss the theoretical and practical implications of these findings.