In the absence of other explanations, exercise-induced dyspnea is often labeled as a manifestation of asthma. The aim of this study was to use exercise provocation in cold air among patients with exercise-induced dyspnea, but without any bronchoconstriction, in order to study induced symptoms and different physiological parameters and to measure the possible influence of exercise in cold air on capsaicin cough sensitivity. Eleven patients with exercise-induced dyspnea but no asthma, along with 11 healthy controls, performed a capsaicin inhalation provocation on two occasions. One of these provocations was preceded by an exercise provocation in a cold chamber. Number of coughs, airway symptoms, spirometry, respiratory rate, pulse rate, end-tidal CO(2), and PSaO(2) were registered. During exercise, the patients coughed more than the controls and also had more airway symptoms. After exercise provocation, spirometry values remained unchanged, but capsaicin cough sensitivity was increased and end-tidal CO(2) decreased among the patients, both in comparison to the controls and in comparison to the patients themselves prior to exercise. Exercise-induced dyspnea may be associated with hypocapnia from hyperventilation and increased capsaicin cough sensitivity. The diagnosis of exercise-induced asthma should be questioned when the patient has no signs of bronchoconstriction.