Exposure to threat increases the risk for internalizing problems in adolescence. Deficits in integrating bodily cues into representations of emotion are thought to contribute to internalizing problems. Given the role of the medial prefrontal cortex in regulating bodily responses and integrating them into representations of emotional states, coordination between activity in the medial prefrontal cortex and autonomic nervous system responses may be influenced by past threat exposure with consequences for the emergence of internalizing problems. A sample of 179 Mexican-origin adolescents (88 female) reported on neighborhood and school crime, peer victimization, and discrimination when they were 10–16 years old. At age 17, participants underwent a functional neuroimaging scan during which they viewed pictures of emotional faces while respiratory sinus arrhythmia (RSA) and skin conductance responses were measured. Adolescents also reported symptoms of internalizing problems. Greater exposure to threats across adolescence was associated with more internalizing problems. Threat exposure was also associated with stronger negative coupling between the ventromedial prefrontal cortex and RSA. Stronger negative ventromedial prefrontal cortex–RSA coupling was associated with fewer internalizing problems. These results suggest the degree of coordinated activity between the brain and parasympathetic nervous system is both enhanced by threat experiences and decreased in adolescents with more internalizing problems.