Background: Patients with common mental disorders (depression, anxiety, and somatic symptoms) often exhibit lower heart rate variability (HRV) than healthy individuals. Under the hypothesis that disorder status affects cognitive function, we examined whether neuropsychological features can be mediators between psychopathologies and HRV and possible sex differences. Methods: We recruited 359 individuals (aged 42.47 ± 12.23) with and without common mental disorders. Questionnaires were used to measure their psychopathologies. Eight tests from the Cambridge Neuropsychological Test Automated Battery were selected to measure neuropsychological functions. Resting-state HRV measurements were obtained for 5 min. The associations among these constructs were analyzed using multiple linear regression analysis and structural equation modelling. Results: Among women, Reaction Time (RTI, a task of psychomotor speed) indicator mediated the relationship between depression and low-frequency power (LF); Emotion Recognition Task (ERT, a task of emotional regulation) indicator mediated the relationship between health anxiety and high-frequency power (HF). Among men, Intra-Extra Dimensional Set Shift (IED, a task of shifting) indicator mediated the relationship between depression and LF; Match to Sample Visual Search (MTS, a task of selective attention) indicator mediated the relationship between health cognition and HF. The depression-RTI-LF pathway in women tended to lower HRV; whereas health anxiety-ERT-HF in women, depression-IED-LF and health cognition-MTS-HF in men tended to increase HRV. Limitations: Possible medication effects; not directly measuring brain activity; only gathering resting-state HRV. Conclusion: Our findings support the notion that neuropsychological features mediate the relationship between psychopathologies and HRV, and that sex differences exist.