The scientific study of compassion is burgeoning, however the putative neurophysiological markers of programs which actively train distress tolerance, 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-reassurance. 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.