Global self-esteem represents a protective personal resource lowering the risk of psychological distress. Research conducted in the work setting has confirmed the psychosocial benefits of high self-esteem. However, research linking self-esteem to neurobiological adaptability appears quite scarce. In this study, we propose a theoretical model in which self-esteem predicts work-related exhaustion indirectly, through the mediation of heart rate variability (HRV) and negative affect at work. Moreover, we explore the relationship between self-esteem and HRV. From one side, one would expect a positive link between self-esteem and HRV, signaling higher autonomic adaptability. However, recent studies have shown that in women, such associations become more complex, with even reversed patterns as compared with that in men. Thus, we included sex as a moderator of the relationship between HRV and self-esteem. The model was tested on a sample of 110 individuals working in the relational professions (54% males; Mage = 42.6, SD = 13.73), observed for an entire workday. Results confirmed the protective role of self-esteem against the experience of negative affect and (indirectly) work-related exhaustion. Symptoms of exhaustion at work were also negatively predicted by HRV, and both HRV and negative affect acted as mediators of the relationship between self-esteem and work-related exhaustion. Notably, sex differences emerged in the association between global self-esteem and cardiac vagal tone at work: in women, self-esteem was negatively related to HRV, which in turn led to higher work-related exhaustion, whereas in men, no evidence of this indirect effect appeared. Burnout prevention programs should not ignore important sex differences in how individuals respond to work-related stress.