Cold stimulation and exercise are two independent stimulus variables, each yielding unique impacts on human health. However, in many cases, individuals often encounter both factors simultaneously, particularly in colder regions where outdoor physical activity is prevalent. Despite numerous studies exploring the effects of cold exposure and exercise independently, only a limited number of comprehensive reviews have evaluated their combined influence on health. This review aims to bridge this gap by meticulously examining the potential benefits and detriments of both cold stimulation and exercise on human health. Specifically, the review focuses on their impacts on cardiovascular, respiratory, and immune function, as well as the favorable effects of moderate exercise on the human body. While evidence suggests that cold exposure can enhance health outcomes in certain disease contexts, it also poses risks, particularly for vulnerable populations. Furthermore, while moderate exercise is generally beneficial, engaging in physical activity in cold weather conditions can increase the risk of hypothermia, frostbite, and other cold-related injuries. Consequently, there is an urgent need to develop safe and effective guidelines for exercising in cold weather, particularly for individuals living in colder regions. This review emphasizes the necessity for further research on the combined effects of cold stimulation and exercise, with the goal of informing public health policies and guidelines for physical activity in cold weather conditions.