When exercises are done in intense or exhaustive modes, several acute biochemical mechanisms are triggered. The use of cryotherapy as cold-water immersion is largely used to accelerate the process of muscular recovery based on its anti-inflammatory and analgesic properties. The present study aimed to study the biochemical effects of cold-water immersion treatment in mice submitted to exercise-induced exhaustion. Swiss albino mice were divided into 4 treatment groups: control, cold-water immersion (CWI), swimming exhaustive protocol (SEP), and SEP+CWI. Treatment groups were subdivided into times of analysis: 0, 1, 3, and 5 days. Exhaustion groups were submitted to one SEP session, and the CWI groups submitted to one immersion session (12 min at 12°C) every 24 h. Reactive species production, inflammatory, cell viability, and antioxidant status were assessed. The SEP+CWI group showed a decrease in inflammatory damage biomarkers, and reactive species production, and presented increased cell viability compared to the SEP group. Furthermore, CWI increased acetylcholinesterase activity in the first two sessions. The present study showed that CWI was an effective treatment after exercise-induced muscle damage. It enhanced anti-inflammatory response, decreased reactive species production, increased cell viability, and promoted redox balance, which could decrease the time for the recovery process.