Background: Physical exercise is often recommended as additional treatment for people suffering from allergic rhinitis and/or asthma, but less is known about the specific effects of recreational winter outdoor exercise on allergic airway inflammation. Methods: We performed a longitudinal, randomized controlled intervention study to investigate the effects of recreational winter exercise on allergic airway inflammation, quality of life, spirometry and cardiorespiratory fitness in adults suffering from allergic rhinitis and/or asthma. The exercise group participated in a ten-day winter sports program. The control group did not receive any intervention. Results: A significant improvement of fractional oral exhaled nitric oxide (FeNO; p = 0.008, day 10) and a significant decrease in FeNO after a single 4 h hiking tour (p < 0.001, time effect) were observed for the exercise group. The nasal eosinophilic cell count revealed a short-term reduction (p = 0.021, treatment effect) in the exercise group and for the visual analogue scale sustainable improvements in allergic symptoms (p < 0.001, day 60) were found. No adverse effects of outdoor winter exercise were observed. Conclusion: Recreational winter exercise at moderately cold temperatures reduces allergic airway inflammation measured as FeNO, nasal eosinophilic cell count and induces sustainable improvements in allergic symptoms.