Cold weather can have deleterious effects on health, tolerance, and performance. This paper will review the physiological responses and external factors that impact cold tolerance and physical performance. Tolerance is grouped into shortterm (< 10-min) and long-term (> 1-h) exposure. Short-term exposure to cold water leads to a “cold-shock” response, which can have serious health consequences. Methods for habituating to this response are presented. Factors (anthropometry, sex, fitness) that influence cold tolerance are also reviewed. The impact of cold exposure on physical performance, especially aerobic performance, has not been well studied. The few studies that have been done suggest that aerobic performance is degraded in cold environments. Potential physiological mechanisms are discussed. Likewise, anaerobic performance is also degraded during cold exposure, primarily through a decline in muscle temperature. The review also discusses the concept of thermoregulatory fatigue, a reduction in the thermal effector responses of shivering and vasoconstriction, as a result of multi-stressor factors, including exhaustive exercise.