Psychological pain is a prominent symptom in people who experience depression, but its relation with physiological measures has not been explored. This study compared two measures of psychological pain, the Orbach & Mikulincer Mental Pain (OMMP) questionnaire and the Psychache Scale, for their relationship with resting‐state heart rate variability (HRV) in 35 adults with a history of depression. Low‐frequency HRV decreased significantly with increasing psychological pain, particularly in participants who did not use antidepressants, while the beat‐to‐beat fractal dimension decreased in participants who did use antidepressants. Neither heart rate nor high‐frequency HRV was associated with psychological pain. These results suggest a state of arousal characterized by increased sympathetic activity. Results also indicate that the OMMP may be a more accurate measure of autonomic arousal associated with current psychological pain than the Psychache Scale.