Autonomic dysregulation has been hypothesized to play a role in the relationships between psychopathology and cardiovascular risk. An important transdiagnostic factor that has been associated with autonomic dysfunction is perseverative cognition (PC), mainly present in Major Depressive Disorder (MDD) in the form of rumination. As the ability to adaptively let our mind wander without ruminating is critical to mental health, this study aimed to examine the autonomic concomitants of functional vs. dysfunctional intrusive thoughts in MDD. Ambulatory heart rate (HR) and variability (HRV) of 18 MDD subjects and 18 healthy controls were recorded for 24 h. Approximately every 30 min during waking hours subjects reported their ongoing thoughts and moods using electronic diaries. Random regression models were performed. Compared to controls, MDD subjects were more often caught during episodes of PC. In both groups, PC required more effort to be inhibited and interfered more with ongoing activities compared to mind wandering (MW) (ps < 0.0001). This cognitive rigidity was mirrored by autonomic inflexibility, as PC was characterized by lower HRV (p < 0.0001) compared to MW. A worse mood was reported by MDD patients compared to controls, independently of their ongoing cognitive process. Controls, however, showed the highest mood worsening during PC compared to being on task and MW. HRV during rumination correlated with self-reported somatic symptoms on the same day and several dispositional traits. MDD subjects showed lower HRV during sleep, which correlated with hopelessness rumination. Results show that PC is associated with autonomic dysfunctions in both healthy and MDD subjects. Understanding when spontaneous thought is adaptive and when it is not may clarify its role in the etiology of mood disorders, shedding light on the still unexplained association between psychopathology, chronic stress, and risk for health.