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Objective: Smoking and depression are two mental health problems that can have a negative effect on a person's overall health. Studies have shown that smoking and mayor depressive disorder (MDD) have a bidirectional relationship. The objective of this study was to deepen the knowledge of the clinical features and psychophysiological bases of heart rate variability (HRV). Methods: Eighty participants (40% females, 18 and 45 years old) were included and represent a subsample of a randomized clinical trial that explored the therapeutic effects of transcranial magnetic stimulation in patients with depression, suicidal ideation, and smoking. Clinical features were measured in smokers n = 20, MDD n = 20, smokers + MDD n = 20, and controls n = 20 using MINI-plus, the Beck Depression Inventory, the Hamilton Anxiety Scale, the Hamilton Depression Scale, the Fagerström test (FT), the Nicotine Craving Questionnaire (NCQ), co-oximetry and a signal reactivity paradigm with HRV for psychophysiological measures, and the Marlow and Crowne Scale. Results: Comparison between groups demonstrated that participants with MDD and smokers + MDD had higher scores than the other groups on the depression (p < 0.001) and anxiety scales (p < 0.001). In the FT, smokers present higher consumption compared to all the groups (p < 0.001). In the NCQ, smokers and smokers + MDD had similar behavior with higher scores (p < 0.001). Conclusions: The MDD group had HRV values below the references; smokers and smokers + MDD presented a greater psychophysiological reaction when exposed to the signal reactivity paradigm, and this was reflected in the HRV as they had values below the references. [ABSTRACT FROM AUTHOR]