In response to cold exposure, thermoregulatory systems are altered to maintain body temperature by cutaneous vasoconstriction and shivering thermogenesis. This study examined thermoregulatory and metabolic responses during moderate‐ and high‐intensity cycling exercise between cold and neutral conditions. Eleven healthy men performed cycling exercise at 60% of maximal oxygen uptake, followed by a 15‐minute rest, and time to exhaustion at 90% of maximal oxygen uptake in 5 and 22°C. Oxygen uptake (VO2), rectal temperature (Tre), and skin temperature were measured and calculated for metabolic heat production (MHP), %carbohydrate utilization, mean skin temperature (Tsk), and mean body temperature (Tb). Tre was gradually increased during 60 minutes of exercise in both conditions, while Tsk and Tb were lower in cold condition compared to neutral condition. Metabolic heat production increased throughout exercise at 60% and 90%, with higher MHP during 90%. RER decreased during cycling at 60%, whereas it increased during cycling at 90%. However, RER did not differ between conditions. At submaximal exercise intensity, Tre, VO2, and MHP and RER were similar between conditions despite Tsk and Tb being lower in the cold condition. Relative carbohydrate utilization was increased as exercise intensity increases.