Human survival and wellbeing require appropriate responses to stress, including a highly coordinated and efficient nervous system control of the heart rhythm. During stress, a greater disinhibition of the vagal nerve is reflective of poor stress adaptability, which may be relevant in premenstrual dysphoric disorder (PMDD)—a debilitating affective condition thought to be marked by dysregulated stress processing and sensitivity to allopregnanolone. In the present study, women with PMDD (n = 17) and healthy controls (n = 18), who did not take medication, smoke, or consume illicit drugs, and who were free of other psychiatric conditions, participated in the Trier Social Stress Test, during which we measured the high frequency of the heart rate (HF-HRV) and allopregnanolone using ultra-performance liquid chromatography tandem mass spectrometry. Relative to their baseline, women who have PMDD, but not the healthy controls, experienced a reduction in HF-HRV during stress anticipation (p ≤ 0.05) and stress (p ≤ 0.01). Their recovery from stress was significantly delayed (p ≤ 0.05). Absolute peak HF-HRV change from baseline was significantly predicted by baseline allopregnanolone only in the PMDD group (p ≤ 0.01). The present study shows how an interaction between stress and allopregnanolone—which have both been separately implicated in PMDD—underlies PMDD expression.