Empathy involves both affective and cognitive components whereby we understand, and express concerns for, the experiences of others. Women typically have superior trait empathy compared with men, which seems to have a neurological basis with sex differences in the structure and function of neural networks involved in empathy. This study investigated sex differences in empathy for pain using the Empathy for Pain Scale, and examined whether these trait differences were associated with disruptions in autonomic regulation, specifically via the parasympathetic nervous system (measured through the square root of the mean squared differences of successive R‐R intervals; RMSSD) both at rest and during a socioevaluative stress task (i.e., the serial sevens task). Compared with men, women reported higher empathic concern (Cohen's r = .25) and affective distress (Cohen's d = 0.65) toward another in pain. In both men and women, there was a decrease in lnRMSSD in the stress task compared to rest. Sex moderated the relationship between resting lnRMSSD and self‐reported empathic concern. Specifically, there was no clear association between empathic concern and lnRMSSD in men whereas in women there was a negative relationship, with lower resting lnRMSSD associated with higher empathic concern, and higher lnRMSSD associated with lower levels of empathic concern that were similar to men. These findings suggest that empathic feelings may result from poorer psychophysiological regulation, and concur with previous research displaying sex‐specific relationships between resting heart rate variability and emotion regulation abilities.