Heart failure (HF) is associated with high rates of depression. In turn, depression is associated with reduced heart rate variability (HRV), a marker of parasympathetic dysfunction and poorer cardiac outcomes. Cognitive impairment—especially executive dysfunction—is also highly prevalent in HF, but it is unknown whether executive function (EF) impacts the depression-HRV relationship. The primary objective of this paper is to examine whether EF moderates the relationship between depression and HRV in HF. Participants were 109 HF patients. Depressive symptoms were measured using the Beck Depression Inventory-II. EF was assessed using a composite of age-adjusted T scores on the Frontal Assessment Battery, Trail Making Test B, and Stroop Color Word subtest. Parasympathetic function was assessed using resting high frequency HRV (HF-HRV). Multiple hierarchical regression was used to conduct BDI × EF moderation analyses. BDI scores were associated with reduced resting HF-HRV (p < .05). No main effects were detected between EF and resting HF-HRV (p > .05). However, EF moderated the relationship between BDI scores and resting HF-HRV (β = 0.59, p < .01). Simple slope analyses revealed that among participants with poorer EF, higher BDI scores were associated with lower resting HF-HRV (p < .001). Structural brain changes common in HF may contribute to lower EF, increased depression, and poorer autonomic functioning. Alternatively, the results may indicate that individuals with intact EF engage in self-care strategies that negate the detrimental impact of depression on autonomic function. Additional work is needed to clarify these possibilities and the potential benefits of treating depression in HF patients with different cognitive abilities.