The autonomic regulation is non-invasively estimated from heart rate variability (HRV). Many methods utilized to assess autonomic regulation require stationarity of HRV recordings. However, non-stationarities are frequently present even during well-controlled experiments, thus potentially biasing HRV indices. The aim of our study is to quantify the potential bias of spectral, symbolic and entropy HRV indices due to non-stationarities. We analyzed HRV series recorded in healthy subjects during uncontrolled daily life activities typical of 24 h Holter recordings and during predetermined levels of robotic-assisted treadmill-based physical exercise. A stationarity test checking the stability of the mean and variance over short HRV series (about 300 cardiac beats) was utilized to distinguish stationary periods from non-stationary ones. Spectral, symbolic and entropy indices evaluated solely over stationary periods were contrasted with those derived from all the HRV segments. When indices were calculated solely over stationary series, we found that (i) during both uncontrolled daily life activities and controlled physical exercise, the entropy-based complexity indices were significantly larger; (ii) during uncontrolled daily life activities, the spectral and symbolic indices linked to sympathetic modulation were significantly smaller and those associated with vagal modulation were significantly larger; (iii) while during uncontrolled daily life activities, the variance of spectral, symbolic and entropy rate indices was significantly larger, during controlled physical exercise, it was smaller. The study suggests that non-stationarities increase the likelihood to overestimate the contribution of sympathetic control and affect the power of statistical tests utilized to discriminate conditions and/or groups.