Exam stress may affect autonomic nervous system function. This study investigated changes in heart rate variability (HRV) indices in response to exam stress and their association with anxiety dimensions in female adolescents. A total of 72 seventh- and eighth-grade female students participated in the study. Heart rate variability indices, including the root mean square of successive differences (RMSSD), the standard deviation of normal-to-normal intervals (SDNN), the low-frequency to high-frequency power ratio (LF/HF), the photoplethysmography-derived vascular index (A13), and heart rate, were recorded before, during, and after the examination. The results showed that during the examination, RMSSD decreased from 34.59 to 21.07 ms, and SDNN also showed a significant decrease (p < 0.001). In contrast, heart rate increased from 70.01 to 85 beats per minute, and the vascular index increased significantly (p < 0.001). In addition, LF/HF showed a significant decrease (p < 0.001). After the examination, all indices returned to levels close to baseline. Eighth-grade students exhibited lower RMSSD values during the examination than seventh-grade students (p = 0.001, d = 0.85). Furthermore, after statistical correction, none of the correlations between anxiety dimensions and HRV indices were significant. These findings indicate that exam stress in female adolescents is associated with reduced vagal activity, increased cardiac arousal, and a distinct physiological response pattern. The simultaneous decrease in LF/HF and increase in heart rate reflects the complexity of the autonomic response to stress.