Heart rate variability (HRV) has been extensively explored by traditional linear approaches (e.g., spectral analysis); however, several studies have pointed to the presence of nonlinear features in HRV, suggesting that linear tools might fail to account for the complexity of the HRV dynamics. Even though the prevalent notion is that HRV is nonlinear, the actual presence of nonlinear features is rarely verified. In this study, the presence of nonlinear dynamics was checked as a function of time scales in three experimental models of rats with different impairment of the cardiac control: namely, rats with heart failure (HF), spontaneously hypertensive rats (SHRs), and sinoaortic denervated (SAD) rats. Multiscale entropy (MSE) and refined MSE (RMSE) were chosen as the discriminating statistic for the surrogate test utilized to detect nonlinearity. Nonlinear dynamics is less present in HF animals at both short and long time scales compared with controls. A similar finding was found in SHR only at short time scales. SAD increased the presence of nonlinear dynamics exclusively at short time scales. Those findings suggest that a working baroreflex contributes to linearize HRV and to reduce the likelihood to observe nonlinear components of the cardiac control at short time scales. In addition, an increased sympathetic modulation seems to be a source of nonlinear dynamics at long time scales. Testing nonlinear dynamics as a function of the time scales can provide a characterization of the cardiac control complementary to more traditional markers in time, frequency, and information domains. Although heart rate variability (HRV) dynamics is widely assumed to be nonlinear, nonlinearity tests are rarely used to check this hypothesis. By adopting multiscale entropy (MSE) and refined MSE (RMSE) as the discriminating statistic for the nonlinearity test, we show that nonlinear dynamics varies with time scale and the type of cardiac dysfunction. Moreover, as complexity metrics and nonlinearities provide complementary information, we strongly recommend using the test for nonlinearity as an additional index to characterize HRV.