Major depressive disorder (MDD) and chronic fatigue syndrome (CFS) have overlapping symptoms, and differentiation is important to administer the proper treatment. The present study aimed to assess the usefulness of heart rate variability (HRV) indices. Frequency-domain HRV indices, including high-frequency (HF) and low-frequency (LF) components, their sum (LF+HF), and their ratio (LF/HF), were measured in a three-behavioral-state paradigm composed of initial rest (Rest), task load (Task), and post-task rest (After) periods to examine autonomic regulation. It was found that HF was low at Rest in both disorders, but was lower in MDD than in CFS. LF and LF+HF at Rest were low only in MDD. Attenuated responses of LF, HF, LF+HF, and LF/HF to task load and an excessive increase in HF at After were found in both disorders. The results indicate that an overall HRV reduction at Rest may support a diagnosis of MDD. HF reduction was found in CFS, but with a lesser severity. Response disturbances of HRV to Task were observed in both disorders, and would suggest the presence of CFS when the baseline HRV has not been reduced. Linear discriminant analysis using HRV indices was able to differentiate MDD from CFS, with a sensitivity and specificity of 91.8% and 100%, respectively. HRV indices in MDD and CFS show both common and different profiles, and can be useful for the differential diagnosis.