This study aims to evaluate the effect of regular post-exercise cold water immersion (CWI) on intramuscular markers of cellular stress response and signaling molecules related to mitochondria biogenesis and exercise performance after 4 weeks of high intensity interval training (HIIT). Seventeen healthy subjects were allocated into two groups: control (CON, n = 9) or CWI (n = 8). Each HIIT session consisted of 8–12 cycling exercise stimuli (90–110 % of peak power) for 60 s followed by 75 s of active recovery three times per week, for 4 weeks (12 HIIT sessions). After each HIIT session, the CWI had their lower limbs immersed in cold water (10 °C) for 15 min and the CON recovered at room temperature. Exercise performance was evaluated before and after HIIT by a 15-km cycling time trial. Vastus lateralis biopsies were obtained pre and 72 h post training. Samples were analyzed for heat shock protein 72 kDa (Hsp72), adenosine monophosphate-activated protein kinase (AMPK), and phosphorylated p38 mitogen-activated protein kinase (p-p38 MAPK) assessed by western blot. In addition, the mRNA expression of heat shock factor-1 (HSF-1), peroxisome proliferator-activated receptor gamma coactivator-1α (PGC-1α), nuclear respiratory factor 1 and 2 (NRF1 and 2), mitochondrial transcription factor A (Tfam), calcium calmodulin-dependent protein kinase 2 (CaMK2) and enzymes citrate synthase (CS), carnitine palmitoyltransferase I (CPT1), and pyruvate dehydrogenase kinase (PDK4) were assessed by real-time PCR. Time to complete the 15-km cycling time trial was reduced with training (p 0.05). No differences were observed with training or condition for mRNA expression of PGC-1α (p = 0.31), CPT1 (p = 0.14), CS (p = 0.44), and NRF-2 (p = 0.82). However, HFS-1 (p = 0.007), PDK4 (p = 0.03), and Tfam (p = 0.03) mRNA were higher in CWI. NRF-1 decrease in both groups after training (p = 0.006). CaMK2 decreased with HIIT (p = 0.003) but it was not affected by CWI (p = 0.99). Cold water immersion does not alter HIIT-induced Hsp72, AMPK, p38 MAPK, and exercise performance but was able to increase some markers of cellular stress response and signaling molecules related to mitochondria biogenesis.