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Entropy measures have been extensively used to assess heart rate variability (HRV), a noninvasive marker of cardiovascular autonomic regulation. It is yet to be elucidated whether those entropy measures can sensitively respond to changes of autonomic balance and whether the responses, if there are any, are consistent across different entropy measures. Sixteen healthy subjects were enrolled in this study. Each subject undertook two 5-min ECG measurements, one in a resting seated position and another while walking on a treadmill at a regular speed of 5 km/h. For each subject, the two measurements were conducted in a randomized order and a 30-min rest was required between them. HRV time series were derived and were analyzed by eight entropy measures, i.e., approximate entropy (ApEn), corrected ApEn (cApEn), sample entropy (SampEn), fuzzy entropy without removing local trend (FuzzyEn-g), fuzzy entropy with local trend removal (FuzzyEn-l), permutation entropy (PermEn), conditional entropy (CE), and distribution entropy (DistEn). Compared to resting seated position, regular walking led to significantly reduced CE and DistEn (both p ≤ 0.006; Cohen’s d = 0.9 for CE, d = 1.7 for DistEn), and increased PermEn (p < 0.0001; d = 1.9), while all these changes disappeared after performing a linear detrend or a wavelet detrend (