Depth of anaesthesia monitors usually analyse cerebral function with or without other physiological signals; noninvasive monitoring of the measured cardiorespiratory signals alone would offer a simple, practical alternative. We aimed to investigate whether such signals, analysed with novel, non-linear dynamic methods, would distinguish between the awake and anaesthetised states. We recorded ECG, respiration, skin temperature, pulse and skin conductivity before and during general anaesthesia in 27 subjects in good cardiovascular health, randomly allocated to receive propofol or sevoflurane. Mean values, variability and dynamic interactions were determined. Respiratory rate (p = 0.0002), skin conductivity (p = 0.03) and skin temperature (p = 0.00006) changed with sevoflurane, and skin temperature (p = 0.0005) with propofol. Pulse transit time increased by 17% with sevoflurane (p = 0.02) and 11% with propofol (p = 0.007). Sevoflurane reduced the wavelet energy of heart (p = 0.0004) and respiratory (p = 0.02) rate variability at all frequencies, whereas propofol decreased only the heart rate variability below 0.021 Hz (p < 0.05). The phase coherence was reduced by both agents at frequencies below 0.145 Hz (p < 0.05), whereas the cardiorespiratory synchronisation time was increased (p < 0.05). A classification analysis based on an optimal set of discriminatory parameters distinguished with 95% success between the awake and anaesthetised states. We suggest that these results can contribute to the design of new monitors of anaesthetic depth based on cardiovascular signals alone.