The purpose of the study was to examine the effects of exercise on total leukocyte count and subsets, as well as hormone and cytokine responses in a thermoneutral and cold environment, with and without an individualized pre-cooling protocol inducing low-intensity shivering. Nine healthy young men participated in six experimental trials wearing shorts and t-shirts. Participants exercised for 60 min on a treadmill at low (LOW: 50% of peak VO2) and moderate (MOD: 70% VO2peak) exercise intensities in a climatic chamber set at 22°C (NT), and in 0°C (COLD) with and without a pre-exercise low-intensity shivering protocol (SHIV). Core and skin temperature, heart rate and oxygen consumption were collected continuously. Blood samples were collected before and at the end of exercise to assess endocrine and immunological changes. Core temperature in NT was greater than COLD and SHIV by 0.4±0.2°C whereas skin temperature in NT was also greater than COLD and SHIV by 8.5±1.4°C and 9.3±2.5°C respectively in MOD. Total testosterone, adenocorticotropin and cortisol were greater in NT vs. COLD and SHIV in MOD. Norepinephrine was greater in NT vs. other conditions across intensities. Interleukin-2, IL-5, IL-7, IL-10, IL-17, IFN-γ, Rantes, Eotaxin, IP-10, MIP-1β, MCP-1, VEGF, PDGF, and G-CSF were elevated in NT vs. COLD and/or SHIV. Furthermore, IFN-γ, MIP-1β, MCP-1, IL-10, VEGF, and PDGF demonstrate greater concentrations in SHIV vs. COLD, mainly in the MOD condition. This study demonstrated that exercising in the cold can diminish the exercise-induced systemic inflammatory response seen in a thermoneutral environment. Nonetheless, prolonged cooling inducing shivering thermogenesis prior to exercise, may induce an immuno-stimulatory response following moderate intensity exercise. Performing exercise in cold environments can be a useful strategy in partially inhibiting the acute systemic inflammatory response from exercise but oppositely, additional body cooling may reverse this benefit.