Unlike thermal comfort in air, little research has been undertaken exploring thermal comfort around water sports. We investigated the impact of swimming and cooling in air after swimming on thermal comfort. After 10 min of swimming-and-resting cycles in 28 °C water, volunteers wearing two types of garments or in swim briefs, faced winds in 24 °C air, at rest or when stepping. Thermal comfort was significantly higher during swimming than resting. Post-immersion, following maximum discomfort, in 45 of 65 tests thermal comfort improved although mean skin temperature was still cooling (0.26 [SD 0.19] °C·min− 1 — max was 0.89 °C·min− 1). When thermal comfort was re-established mean skin temperature was lower than at maximal discomfort in 39 of 54 tests (0.81 [SD 0.58] °C — max difference was 2.68 °C). The reduction in thermal discomfort in this scenario could be due to the adaptation of thermoreceptors, or to reductions in cooling rates to levels where discomfort was less stimulated. The relief from the recent discomfort may explain why, later, thermal comfort returned to initial levels in spite of poorer thermal profiles.