Cold weather can have deleterious effects on health, tolerance, and performance. This paper will review the physiological responses and external factors that impact cold tolerance and physical performance. Tolerance is defined as the ability to withstand cold stress with minimal changes in physiological strain. Physiological and pathophysiological responses to short-term (cold shock) and long-term cold water and air exposure are presented. Factors (habituation, anthropometry, sex, race, and fitness) that influence cold tolerance are also reviewed. The impact of cold exposure on physical performance, especially aerobic performance, has not been thoroughly studied. The few studies that have been done suggest that aerobic performance is degraded in cold environments. Potential physiological mechanisms (decreases in deep body and muscle temperature, cardiovascular, and metabolism) are discussed. Likewise, strength and power are also degraded during cold exposure, primarily through a decline in muscle temperature. The review also discusses the concept of thermoregulatory fatigue, a reduction in the thermal effector responses of shivering and vasoconstriction, as a result of multistressor factors, including exhaustive exercise.