Decreases in heart rate variability, a marker of autonomic nervous system function, are associated with increased cardiovascular mortality. Heart rate variability increases in non-rapid eye movement sleep, peaking in slow-wave sleep. Therefore, decreasing the amount of deep sleep, for example, by introducing patients to a sleep laboratory environment, could decrease heart rate variability, increasing cardiovascular risk. We studied four groups of women with no previous sleep laboratory experience: young [n = 11, 23.1 (0.5) years]; perimenopausal [n = 15, 48.0 (0.4) years]; postmenopausal without hormone therapy [n = 22, 63.4 (0.8) years]; and postmenopausal on hormone therapy [n = 16, 63.1 (0.9) years], using a cross-sectional design. Polysomnography including electrocardiogram was performed over two consecutive nights. Heart rate variability was assessed overnight, and the first-night effect on heart rate variability was analysed. Furthermore, correlations between heart rate variability and sleep variables were analysed. Using combined groups, only minor changes were observed in non-linear heart rate variability, indicating increased parasympathetic tone from the first to the second night. No group differences in first-night effect were seen. Heart rate variability and sleep variables were not significantly correlated. Heart rate variability decreased with increasing age, and it was lowest in the postmenopausal women on hormone therapy. We conclude that a first night in a sleep laboratory elicits only minimal changes in overnight vagally mediated non-linear heart rate variability in women irrespective of reproductive state. This finding warrants further analyses in different sleep stages, but suggests that changes in sleep architecture per se do not predict the autonomic strain of a poor night.