Women demonstrate greater RR interval variability than men of similar age. Enhanced parasympathetic input into cardiac regulation appears to be not only greater in women, but also protective during periods of cardiac stress. Even though women may have a more favorable autonomic profile after exercise, little research has been conducted on this issue. This study was designed to examine the cardiac autonomic response, in both male and female participants, during the early recovery from supramaximal exercise. Twenty-five individuals, aged 20 to 33 years (13 males and 12 females), performed a 30-s Wingate test. Beat-to-beat RR series were recorded before and 5 min after exercise, with the participants in the supine position and under paced breathing. Linear (spectral analysis) and nonlinear analyses (detrended fluctuation analysis (DFA)) were performed on the same RR series. At rest, women presented lower raw low frequency (LF) power and higher normalized high frequency (HF) power. Under these conditions, the LF/HF ratio of women was also lower than that of men (p < 0.05), but there were no differences in the short-term scaling exponent (a1). Even though both sexes showed a significant modification in linear and nonlinear measures of heart rate variability (HRV) (p < 0.05), women had a greater change in LF/HF ratio and a1 than men from rest to recovery. This study demonstrates that the cardiac autonomic function of women is more affected by supramaximal exercise than that of men. Additionally, DFA did not provide additional information about sexual dimorphisms, compared with conventional spectral HRV techniques.