Although not a barrier to perform sport, cold weather environments (low ambient temperature, high wind speeds, and increased precipitation, i.e., rain/water/snow) may influence sport performance. Despite the obvious requirement for practical recommendations and guidelines to better facilitate training and competition in such cold environments, the current scientific evidence-base is lacking. Nonetheless, this review summarizes the current available knowledge specifically related to the physiological impact of cold exposure, in an attempt to provide practitioners and coaches alike with practical recommendations to minimize any potential negative performance effects, mitigate health issues, and best optimize athlete preparation across various sporting disciplines. Herein, the review is split into sections which explore some of the key physiological effects of cold exposure on performance (i.e., endurance exercise capacity and explosive athletic power), potential health issues (short-term and long-term), and what is currently known with regard to best preparation or mitigation strategies considered to negate the potential negative effects of cold on performance. Specific focus is given to “winter” sports that are usually completed in cold environments and practical recommendations for physical preparation.