Pulmonary hypertension (PH) is a fatal disease—even with state-of-the-art medical treat-ment. Non-invasive clinical tools for risk stratification are still lacking. The aim of this study was to investigate the clinical utility of heart rhythm complexity in risk stratification for PH patients. We prospectively enrolled 54 PH patients, including 20 high-risk patients (group A; defined as WHO functional class IV or class III with severely compromised hemodynamics), and 34 low-risk patients (group B). Both linear and non-linear heart rate variability (HRV) variables, including detrended fluctuation analysis (DFA) and multiscale entropy (MSE), were analyzed. In linear and non-linear HRV analysis, low frequency and high frequency ratio, DFAα1, MSE slope 5, scale 5, and area 6–20 were significantly lower in group A. Among all HRV variables, MSE scale 5 (AUC: 0.758) had the best predictive power to discriminate the two groups. In multivariable analysis, MSE scale 5 (p = 0.010) was the only significantly predictor of severe PH in all HRV variables. In conclusion, the patients with severe PH had worse heart rhythm complexity. MSE parameters, especially scale 5, can help to identify high-risk PH patients.