The analysis of heart rate variability (HRV) by nonlinear methods has been gaining increasing interest due to their ability to quantify the complexity of cardiovascular regulation. In this study, multiscale entropy (MSE) and refined MSE (RMSE) were applied to track the complexity of HRV as a function of time scale in three pathological conscious animal models: rats with heart failure (HF), spontaneously hypertensive rats (SHR), and rats with sinoaortic denervation (SAD). Results showed that HF did not change HRV complexity, although there was a tendency to decrease the entropy in HF animals. On the other hand, SHR group was characterized by reduced complexity at long time scales, whereas SAD animals exhibited a smaller short- and long-term irregularity. We propose that short time scales (1 to 4), accounting for fast oscillations, are more related to vagal and respiratory control, whereas long time scales (5 to 20), accounting for slow oscillations, are more related to sympathetic control. The increased sympathetic modulation is probably the main reason for the lower entropy observed at high scales for both SHR and SAD groups, acting as a negative factor for the cardiovascular complexity. This study highlights the contribution of the multiscale complexity analysis of HRV for understanding the physiological mechanisms involved in cardiovascular regulation.