Regions of the medial visceromotor network (MVN) participate in concurrently regulating shifts in both affective state and cardiac vagal control in the attentional background, and this regulatory ability may be impaired in depression. We examined whether the relationship between changes in BOLD within MVN regions and changes in cardiac vagal control (VC) during affective state shifting changed with depression treatment. Ten depressed and ten control subjects performed an emotional counting Stroop task designed to trigger affective change in the attentional background while undergoing functional magnetic resonance imaging and concurrent electrocardiography (ECG) on four occasions: week 0 (pre-treatment) and weeks 2, 6 and 12 of treatment on sertraline. We measured the absolute value of change between adjacent emotional and neutral conditions in both VC and the BOLD signal in specific regions of the MVN. Over time consistent increases were observed in BOLD-VC magnitude correlations in depressed subjects in subgenual ACC and left DLPFC, which strongly correlated with depressive symptom improvement. Symptom improvement over time was also associated with decreases in the magnitude of both BOLD shifts and VC shifts within-subjects. This suggests that as depressive symptoms improve on sertraline, subgenual ACC and DLPFC may more efficiently regulate visceral states during affective state shifting.