Introduction Capsaicin, a chili pepper extract, can stimulate increased skin blood flow (SkBF) with a perceived warming sensation on application areas. Larger surface area application may exert a more systemic thermoregulatory response. Capsaicin could assist with maintaining heat transport to the distal extremities, minimizing cold weather injury risk. However, the thermoregulatory and perceptual impact of topical capsaicin cream application prior to exercise in the cold is unknown. Methods Following application of either a 0.1% capsaicin or control cream to the upper and lower extremities (10 g total, ∼40–50% body surface area), 11 participants in shorts and a t-shirt were exposed to 30 min of cold (0 °C, 40% relative humidity). Exposures comprised of 5 min seated rest, 20 min walking (1.6 m·s−1, 5% grade), and 5 min seated rest. Temperature (skin, core), SkBF, skin conductivity, heart rate, thermal sensation, and thermal comfort were measured throughout. Results The capsaicin treatment did not differ from the control treatment in skin temperature (treatment mean: 30.0 ± 2.5, 30.1 ± 2.4 °C, respectively, p = 0.655), core temperature (treatment mean: 37.3 ± 0.5, 37.4 ± 0.4 °C, respectively, p = 0.113), SkBF (treatment mean: −8.4 ± 10.0, −11.1 ± 10.7 A.U., respectively, p = 0.492), skin conductivity (treatment mean: −0.7 ± 5.1, 0.4 ± 6.4 µS, respectively, p = 0.651), or heart rate (treatment mean: 83 ± 29, 85 ± 28 beats·minute−1, respectively, p = 0.234). The capsaicin and control treatments also did not differ in thermal sensation ( p = 0.521) and thermal comfort ( p = 0.982), with perceptual outcomes corresponding with feeling “cool” and “just uncomfortable,” respectively. Conclusions 0.1% topical capsaicin application to exposed limbs prior to walking in a cold environment does not alter whole-body thermoregulation or thermal perception.