Cold exposure facilitates body heat loss which can reduce body temperature, unless mitigated by enhanced heat conservation or increased heat production. When behavioral strategies inadequately defend body temperature, vasomotor and thermogenic responses are elicited, both of which are modulated if not mediated by sympathetic nervous activation. Both exercise and shivering increase metabolic heat production which helps offset body heat losses in the cold. However, exercise also increases peripheral blood flow, in turn facilitating heat loss, an effect that can persist for some time after exercise ceases. Whether exercise alleviates or exacerbates heat debt during cold exposure depends on the heat transfer coefficient of the environment, mode of activity and exercise intensity. Prolonged exhaustive exercise leading to energy substrate depletion could compromise maintenance of thermal balance in the cold simply by precluding continuation of further exercise and the associated thermogenesis. Hypoglycemia impairs shivering, but this appears to be centrally mediated, rather than a limitation to peripheral energy metabolism. Research is equivocal regarding the importance of muscle glycogen depletion in explaining shivering impairments. Recent research suggests that when acute exercise leads to fatigue without depleting energy stores, vasoconstrictor responses to cold are impaired, thus body heat conservation becomes degraded. Fatigue that was induced by chronic overexertion sustained over many weeks, appeared to delay the onset of shivering until body temperature fell lower than when subjects were rested, as well as impair vasoconstrictor responses. When heavy physical activity is coupled with underfeeding for prolonged periods, the resulting negative energy balance leads to loss of body mass, and the corresponding reduction in tissue insulation, in turn, compromises thermal balance by facilitating conductive transfer of body heat from core to shell. The possibility that impairments in thermoregulatory responses to cold associated with exertional fatigue are mediated by blunted sympathetic nervous responsiveness to cold is suggested by some experimental observations and merits further study.