Social stress is a major risk factor for comorbid conditions including cardiovascular disease and depression. While women exhibit 2-3× the risk for these stress-related disorders compared to men, the mechanisms underlying heightened stress susceptibility among females remain largely unknown. Due to a lack in understanding of the pathophysiology underlying stress-induced comorbidities among women, there has been a significant challenge in developing effective therapeutics. Recently, a causal role for inflammation has been established in the onset and progression of comorbid cardiovascular disease/depression, with women exhibiting increased sensitivity to stress-induced immune signaling. Importantly, reduced vagal tone is also implicated in stress susceptibility, through a reduction in the vagus nerve's well-recognized anti-inflammatory properties. Thus, examining therapeutic strategies that stabilize vagal tone during stress may shed light on novel targets for promoting stress resilience among women. Recently, accumulating evidence has demonstrated that physical activity exerts cardio- and neuro-protective effects by enhancing vagal tone. Based on this evidence, this mini review provides an overview of comorbid cardiovascular and behavioral dysfunction in females, the role of inflammation in these disorders, how stress may impart its negative effects on the vagus nerve, and how exercise may act as a preventative. Further, we highlight a critical gap in the literature with regard to the study of females in this field. This review also presents novel data that are the first to demonstrate a protective role for voluntary wheel running over vagal tone and biomarkers of cardiac dysfunction in the face of social stress exposure in female rats.