The scientific study of compassion is burgeoning, with research indicating that practicing compassion for oneself can facilitate well-being and buffer against mental health problems, specifically by protecting against the impacts of self-criticism and shame. However, the putative neurophysiological markers of compassion training programs which are increasingly being used in psychotherapy, such as compassionate mind training (CMT) are less well known. Herein we offer an integrative, multi-method approach which investigated CMT at neural, physiological, self-report, and behavioural levels. Specifically, this study first assessed participants’ neural responses when confronted with disappointments (e.g., rejection, failure) using two fundamental self-regulatory styles, self-criticism and self-compassion. Second, participant’s heart-rate variability (HRV) – a marker of parasympathetic nervous system response – was assessed during compassion training, pre- and post- a two-week self-directed engagement period. We identified neural networks associated with threat are reduced when practicing compassion, and heightened when being self-critical. In addition, cultivating compassion was associated with increased parasympathetic response as measured by an increase in HRV, versus the resting-state. Critically, cultivating compassion was able to shift a subset of clinically-at risk participants to one of increased parasympathetic response. Further, those who began the trial with lower resting HRV also engaged more in the intervention, possibly as they derived more benefits, both self-report and physiologically, from engagement in compassion.