Cardiovascular control acts over multiple time scales, which introduces a significant amount of complexity to heart rate and blood pressure time series. Multiscale entropy (MSE) analysis has been developed to quantify the complexity of a time series over multiple time scales. In previous studies, MSE analyses identified impaired cardiovascular control and increased cardiovascular risk in various pathological conditions. Despite the increasing acceptance of the MSE technique in clinical research, information underpinning the involvement of the autonomic nervous system in the MSE of heart rate and blood pressure is lacking. The objective of this study is to investigate the effect of orthostatic challenge on the MSE of heart rate and blood pressure variability (HRV, BPV) and the correlation between MSE (complexity measures) and traditional linear (time and frequency domain) measures. MSE analysis of HRV and BPV was performed in 28 healthy young subjects on 1000 consecutive heart beats in the supine and standing positions. Sample entropy values were assessed on scales of 1-10. We found that MSE of heart rate and blood pressure signals is sensitive to changes in autonomic balance caused by postural change from the supine to the standing position. The effect of orthostatic challenge on heart rate and blood pressure complexity depended on the time scale under investigation. Entropy values did not correlate with the mean values of heart rate and blood pressure and showed only weak correlations with linear HRV and BPV measures. In conclusion, the MSE analysis of heart rate and blood pressure provides a sensitive tool to detect changes in autonomic balance as induced by postural change.