(1) Background: Heart rate variability (HRV) has emerged as a potential prognostic tool in cardiovascular diseases, offering individualized insights into autonomic nervous system activity. However, real-time HRV data during the acute phase of STEMI, particularly during percutaneous coronary intervention (PCI), was not previously explored. (2) Methods: This single-center, observational cohort study included 104 STEMI patients undergoing primary percutaneous coronary intervention (PCI). HRV parameters were measured using a wearable device (CE marked) during PCI, capturing dynamic responses. The association between HRV parameters and adverse outcomes, including in-hospital mortality and major adverse cardiovascular events (MACE), were assessed. (3) Results: HRV parameters significantly decreased after myocardial revascularization, particularly SDNN, RMSSD, pNN50, HF, SD1, and SD2/SD1 ratio. Significant associations were found between reduced SD2/SD1 ratio, approximate entropy, and adverse outcomes, including increased in-hospital mortality and MACE. The SD2/SD1 ratio was significantly lower in patients who died during the hospital stay (p = 0.008) compared to survivors. Approximate entropy was also significantly lower in deceased patients (p = 0.019). (4) Conclusions: Real-time HRV monitoring using wearable technology offers valuable data regarding dynamic physiological changes during primary PCI. The integration of HRV into routine clinical practice, facilitated by wearable devices, could improve the risk stratification and event prediction in STEMI patients.