Reduced heart rate variability (HRV) is proposed to mediate the relation between depressive symptoms and cardiovascular health problems. Yet, several studies have found that in women depression is associated with higher HRV levels, whereas in men depression is associated with lower HRV levels. So far, these studies have only examined gender differences in HRV levels using a single assessment. This study aimed to test the interactive effects of gender and sadness on ambulatory‐assessed HRV levels. A sample of 60 (41 women) employees participated in an ambulatory study. HRV levels (mean of successive differences; MSD) were continuously measured for 24 h. During the daytime, hourly assessments of sadness and other mood states were taken, while depressive symptoms were assessed with the Center for Epidemiologic Studies Depression scale (CES‐D). Gender differences were observed when examining the impact of average daily sadness on MSD. In women, but not in men, the total amount of sadness experienced during the day was associated with higher circadian MSD levels. These findings suggest that researchers need to take gender differences into account when examining the relation between sadness, HRV, and cardiovascular problems.