It is widely believed that an active cool-down is more effective for promoting post-exercise recovery than a passive cool-down involving no activity. However, research on this topic has never been synthesized and it therefore remains largely unknown whether this belief is correct. This review compares the effects of various types of active cool-downs with passive cool-downs on sports performance, injuries, long-term adaptive responses, and psychophysiological markers of post-exercise recovery. An active cool-down is largely ineffective with respect to enhancing same-day and next-day(s) sports performance, but some beneficial effects on next-day(s) performance have been reported. Active cool-downs do not appear to prevent injuries, and preliminary evidence suggests that performing an active cool-down on a regular basis does not attenuate the long-term adaptive response. Active cool-downs accelerate recovery of lactate in blood, but not necessarily in muscle tissue. Performing active cool-downs may partially prevent immune system depression and promote faster recovery of the cardiovascular and respiratory systems. However, it is unknown whether this reduces the likelihood of post-exercise illnesses, syncope, and cardiovascular complications. Most evidence indicates that active cool-downs do not significantly reduce muscle soreness, or improve the recovery of indirect markers of muscle damage, neuromuscular contractile properties, musculotendinous stiffness, range of motion, systemic hormonal concentrations, or measures of psychological recovery. It can also interfere with muscle glycogen resynthesis. In summary, based on the empirical evidence currently available, active cool-downs are largely ineffective for improving most psychophysiological markers of post-exercise recovery, but may nevertheless offer some benefits compared with a passive cool-down.