The dive response, a decrease in heart rate (fH) and peripheral vasoconstriction, is the key mechanism allowing breath-hold divers to perform long-duration dives. This pronounced cardiovascular response to diving has been investigated intensely in pinnipeds, but comparatively little is known for cetaceans, in particular in ecologically relevant settings. Here, we studied the dive fH response in one of the smallest cetaceans, the harbour porpoise (Phocoena phocoena). We used a novel multi-sensor data logger to record dive behaviour, fH, ventilations and feeding events in three trained porpoises, providing the first evaluation of cetacean fH regulation while performing a variety of natural behaviours, including prey capture. We predicted that tagged harbour porpoises would exhibit a decrease in fH in all dives, but the degree of bradycardia would be influenced by dive duration and activity, i.e. the dive fH response would be exercise modulated. In all dives, fH decreased compared with surface rates by at least 50% (mean maximum surface fH=173 beats min−1, mean minimum dive fH=50 beats min−1); however, dive fH was approximately 10 beats min−1 higher in active dives as a result of a slower decrease in fH and more variable fH during pursuit of prey. We show that porpoises exhibit the typical breath-hold diver bradycardia during aerobic dives and that the fH response is modulated by exercise and dive duration; however, other variables such as expectations and individual differences are equally important in determining diving fH.