Up to 48% of patients with medically unexplained symptoms seen in neurological practice suffer from sensory symptoms, which could be of functional nature or secondary to psychiatric disorders. These patients show high medical care utilization causing elevated healthcare costs. Despite the high prevalence, little is known about clinical characteristics and pathophysiological mechanisms. For functional disorders such as irritable bowel syndrome, a reduction of heart rate variability (HRV) has been shown, suggesting a dysfunction of the autonomic nervous system (ANS). The aim of this study was to investigate psychological data and functional changes of the ANS in patients with medically unexplained sensory symptoms (MUSS). In this exploratory pilot study, 16 patients (11 females, 31.6 ± 11.9 years) with MUSS, who were recruited at a single tertiary neurological center, underwent a structured clinical interview (SCID) to evaluate psychiatric comorbidities. Patients and age- and sex-matched healthy volunteers filled in questionnaires, and individual sensory thresholds (perception, pain) were detected by quantitative sensory testing (QST). HRV was assessed at baseline and under three different experimental conditions (tonic pain stimulus, placebo application, cold-face test). All tests were repeated after 6–8 weeks. SCID interviews revealed clinical or subclinical diagnoses of psychiatric comorbidities for 12 patients. Questionnaires assessing somatization, depression, anxiety, and perceived stress significantly discriminated between patients with MUSS and healthy controls. While there was no difference in QST, reduced ANS reactivity was found in patients during experimental conditions, particularly with regard to vagally mediated HRV. Our pilot study of neurological patients with MUSS reveals a high prevalence of psychiatric comorbidities and provides evidence for altered ANS function. Our data thus give insight in possible underlying mechanisms for these symptoms and may open the door for a better diagnostic and therapeutic approach for these patients in the future.