Heart rate variability has been largely used for the assessment of cardiac autonomic activity, due to the direct relationship between cardiac rhythm and the activity of the sympathetic and parasympathetic nervous system. In recent years, another technique, pulse rate variability, has been used for assessing heart rate variability information from pulse wave signals, especially from photoplethysmography, a non-invasive, non-intrusive, optical technique that measures the blood volume in tissue. The relationship, however, between pulse rate variability and heart rate variability is not entirely understood, and the effects of cardiovascular changes in pulse rate variability have not been thoroughly elucidated. In this review, a comprehensive summary of the applications in which pulse rate variability has been used, with a special focus on cardiovascular health, and of the studies that have compared heart rate variability and pulse rate variability is presented. It was found that the relationship between heart rate variability and pulse rate variability is not entirely understood yet, and that pulse rate variability might be influenced not only due to technical aspects but also by physiological factors that might affect the measurements obtained from pulse-to-pulse time series extracted from pulse waves. Hence, pulse rate variability must not be considered as a valid surrogate of heart rate variability in all scenarios, and care must be taken when using pulse rate variability instead of heart rate variability. Specifically, the way pulse rate variability is affected by cardiovascular changes does not necessarily reflect the same information as heart rate variability, and might contain further valuable information. More research regarding the relationship between cardiovascular changes and pulse rate variability should be performed to evaluate if pulse rate variability might be useful for the assessment of not only cardiac autonomic activity but also for the analysis of mechanical and vascular autonomic responses to these changes.