The experience of anger during a depressive episode has recently been identified as a poor prognostic indicator of illness course. Given the clinical implications of anger in major depressive disorder (MDD), understanding the mechanisms involved in anger reactivity and persistence is critical for improved intervention. Biological processes involved in emotion regulation during stress, such as respiratory sinus arrhythmia (RSA), may play a role in maintaining negative moods. Clinically depressed (MDD; n = 49) and nondepressed (non‐MDD; n = 50) individuals were challenged with a stressful computer task shown to increase anger, while RSA (high frequency range 0.15–0.4 Hz) was collected. RSA predicted future anger, but was unrelated to current anger. That is, across participants, low baseline RSA predicted anger reactivity during the task, and in depressed individuals, those with low RSA during the task had a greater likelihood of anger persistence during a recovery period. These results suggest that low RSA may be a psychophysiological process involved in anger regulation in depression. Low RSA may contribute to sustained illness course by diminishing the repair of angry moods.