Psychopathology, and in particular depression, is a cardiovascular risk factor independent from co-occurring pathology. This link is traced back to the mind-heart-body connection, whose underlying mechanisms are, to date, not completely known. It is clear, however, that the autonomic nervous system plays a leading role in the mediation between the parts of that connection. Therefore, to study psychopathology in relation to the heart, it is necessary to observe the autonomic nervous system, whose gold standard of evaluation is the study of heart rate variability (HRV). Two short-term HRV recordings (5 min - supine and sitting) were analysed in 77 healthy subjects. Here we adopted a three-fold approach to evaluate HRV: a set of scores belonging to the time domain (SDNN, pNN50, RMSSD); the frequency analyses that gauges three main components (high, low, and very low frequencies) and a new set of complexity nonlinear parameters. The PHQ-9 scale was used to detect depressive symptoms. Depressive symptoms were associated only with a parameter from the non-linear approach and specifically the long-term fluctuations of fractal dimensions (DFA-α2). This association remained significant even after controlling for age, gender, BMI, arterial hypertension, anti-hypertensive drugs, dyslipidaemia, and smoking habit. Moreover, the DFA-α2 was not affected by the baroreflex (postural change), unlike other autonomic markers. In conclusion, fractal analysis of HRV (DFA-α2) allows to predict depressive symptoms below diagnostic threshold in healthy subjects regardless of their health status. DFA-α2 may be then considered as an imprint of subclinical depression on the heart rhythm.