Early adverse life events (EALs) increase susceptibility to depression and impair cognitive performance, but the physiological mechanisms are still unclear. The target of this article is to clarify the impact of adverse childhood experiences on emotional and cognitive performance from the perspective of the heart–brain axis. We used the Repeatable Battery for the Assessment of Neuropsychological Status (RBANS) to test cognitive function and the Childhood Trauma Questionnaire (CTQ) to assess adverse childhood experiences. Heart rate variability (HRV) and electroencephalograms (EEG) were acquired at rest. We observed that subjects with depression had experienced more traumatic events during their childhood. Furthermore, they exhibited lower heart rate variability and higher power in the delta, theta, and alpha frequency bands. Moreover, heart rate variability partially mediated the association between childhood trauma exposure and depressive symptoms. Our findings suggested that adverse life events in childhood could influence the development of depression in adulthood, which might be linked to cardiac autonomic dysfunction and altered brain function.