The ability of the autonomic nervous system to flexibly adapt to environmental changes is thought to indicate efficient use of self-regulatory resources. Deficits in autonomic reactivity appear to characterize current depression; however, whether autonomic reactivity confers vulnerability to future depression when individuals encounter environmental stressors is unknown. Fluctuations in respiratory sinus arrhythmia (RSA) and heart rate (HR) were evaluated in response to emotion-eliciting films among 134 undergraduates. Negative events and depressive symptoms were assessed 5 times across 12 weeks. Multilevel modeling demonstrated that smaller decreases in RSA in response to sadness, greater increases in HR following sadness, and smaller increases in HR to amusement were prospectively associated with greater depressive symptoms when individuals encountered high levels of idiographically assessed negative events. These results demonstrate that the lack of contextually appropriate autonomic reactivity may confer vulnerability to depression under conditions of environmental stress, perhaps due to attenuated capacity for effective self-regulation.