In this study, differences in autonomic reactivity to men- tal stress between Major Depressive Disorder (MDD) pa- tients and healthy control (HC) subjects are assessed by nonlinear cardiorespiratory coupling indices derived from the Real Wavelet Biphase. The degree and strength of Quadratic Phase Coupling (QPC) between interacting os- cillations of Heart Rate Variability (HRV) and respiration are quantified before, during and after the execution of a cognitive task. Results show that the QPC strength and QPC degree between the respiration and the respiratory si- nus arrhythmia component of HRV were lower in HC com- pared to MDD during stress, suggesting that the parasym- pathetic branch was less inhibited in MDD patients. Dur- ing recovery, only in HC group, this degree of QPC in- creased, while the respiratory rate was reduced, compared to the basal stage. The degree of QPC between the respi- ration and components of HRV in the low frequency band ([0.04, 0.15] Hz) increased in HC during stress, compared to the basal stage, while remained unchanged in MDD pa- tients. These results imply that depression is associated with blunted autonomic reactivity to mental stress.