The interaction of physical and mental vulnerability and environmental constraints is thought to foster the development of psychiatric disorders such as major depressive disorder (MDD). A central factor in the development of psychopathology is mental stress. Despite some evidence for parasympathetic withdrawal and sympathetic overactivity in MDD, the psychophysiological response to stress in depression is not clear-cut. Given the growing interest in heart rate and heart rate variability as indicators for remote monitoring of patients, it is important to understand how patients with MDD react to stress in a laboratory-controlled environment. We conducted a systematic review of studies using electrocardiography to derive heart rate and heart rate variability during stress in patients with clinical depression. We focused on well-validated stress tasks- the mental arithmetic stress task, the Trier social stress task and public speaking task- to minimize confounding effects due to the nature of the stressor. The majority of studies found hypo-reactivity during stress as a hallmark of depression as evidenced by lower fluctuation in heart rate and heart rate variability in the high-frequency band. We address the potential underlying biological mechanisms, the influence of covariates on these measures and briefly discuss the specificity and potential for remote monitoring by using these variables.