The puzzle of the multifaceted actions of sodium–glucose cotransporter type-2 inhibitors (SGLT2is) is still incomplete. For diabetologists (who are accustomed to dealing with the burden of cardiovascular autonomic neuropathy), the relationship between SGLT2is and the autonomic nervous system (ANS) represents one of the most intriguing aspects of the multiple effects of this family of drugs, especially given the poor availability of disease-modifying treatments for such complication. Therefore, the present review has considered both preclinical and clinical studies of this topic with autonomic perspectives by exploring the pathophysiological background of the interactions between the ANS and SGLT2, including sympathetic control of kidney function and the role of renal afferent nerves, and also by providing insights into the effects of SGLT2is on 24-h blood pressure (BP) and heart rate variability (HRV), with particular attention focused on the EMBODY trial. Indeed, despite the difficulties of exploring such a complex network comprising the kidney, heart and the ANS while targeting a single outcome—circadian BP and HRV—the available studies do offer evidence that SGLT2i actions are in part mediated by neural circuitry and the ANS. Thus, at this time, the worthwhile incidental result of these (and future) studies has been to highlight the role of autonomic innervation in the pathophysiology of kidney and heart disease.