We investigated performance and heart rate (HR) variability (HRV) over consecutive days of cycling with post-exercise cold water immersion (CWI) or passive recovery (PAS). In a crossover design, 11 cyclists completed two separate 3-day training blocks (120 min cycling per day, 66 maximal sprints, 9 min time trialling [TT]), followed by 2 days of recovery-based training. The cyclists recovered from each training session by standing in cold water (10 °C) or at room temperature (27 °C) for 5 min. Mean power for sprints, total TT work and HR were assessed during each session. Resting vagal-HRV (natural logarithm of square-root of mean squared differences of successive R-R intervals; ln rMSSD) was assessed after exercise, after the recovery intervention, during sleep and upon waking. CWI allowed better maintenance of mean sprint power (between-trial difference [90 % confidence limits] +12.4 % [5.9; 18.9]), cadence (+2.0 % [0.6; 3.5]), and mean HR during exercise (+1.6 % [0.0; 3.2]) compared with PAS. ln rMSSD immediately following CWI was higher (+144 % [92; 211]) compared with PAS. There was no difference between the trials in TT performance (-0.2 % [-3.5; 3.0]) or waking ln rMSSD (-1.2 % [-5.9; 3.4]). CWI helps to maintain sprint performance during consecutive days of training, whereas its effects on vagal-HRV vary over time and depend on prior exercise intensity.