High-intensity exercise is associated with mechanical and/or metabolic stresses that lead to reduced performance capacity of skeletal muscle, soreness and inflammation. Cold-water immersion and other forms of cryotherapy are commonly used following a high-intensity bout of exercise to speed recovery. Cryotherapy in its various forms has been used in this capacity for a number of years; however, the mechanisms underlying its recovery effects post-exercise remain elusive. The fundamental change induced by cold therapy is a reduction in tissue temperature, which subsequently exerts local effects on blood flow, cell swelling and metabolism and neural conductance velocity. Systemically, cold therapy causes core temperature reduction and cardiovascular and endocrine changes. A major hindrance to defining guidelines for best practice for the use of the various forms of cryotherapy is an incongruity between mechanistic studies investigating these physiological changes induced by cold and applied studies investigating the functional effects of cold for recovery from high-intensity exercise. When possible, studies investigating the functional recovery effects of cold therapy for recovery from exercise should concomitantly measure intramuscular temperature and relevant temperature-dependent physiological changes induced by this type of recovery strategy. This review will discuss the acute physiological changes induced by various cryotherapy modalities that may affect recovery in the hours to days (<5 days) that follow high-intensity exercise.