This study examined cytokine responses to cold exposure together with the effects of exercise and thermal adaptation. Ten male short-track skaters who had adapted to a cold environment, and ten male inline skaters who had not, were each assigned to two experimental conditions. For the cold condition, subjects sat for 60 min at 5–8°C, then exercised on a cycle ergometer for 60 min at 65% maximal oxygen uptake (at 5–8°C), and finally sat again for 120 min at room temperature (20–25°C). In the control condition, subjects participated in the same protocol as the above but at room temperature (20–25°C). Blood samples were collected at pre-cold exposure, post-cold exposure (pre-exercise), post-exercise, post-30 min, post-60 min, and post-120 min, and analyzed for plasma concentrations of interleukin (IL)-1 receptor antagonist (IL-1ra), IL-8, IL-10, IL-12p40, soluble tumor necrosis factor receptor I (sTNFR-I), cortisol, and myoglobin by using enzyme-linked immunosorbent assay (ELISA). 60-min cycle ergometer exercise induced significant increases in plasma IL-1ra, IL-10 and IL-12p40 at room temperature in short-track skaters adapted to the cold, but significant decreases in these cytokines were observed with exposure to cold. These results indicate that acute cold exposure has a suppressive effect on cytokine response during exercise, suggesting the possibility of preventive effects on immunosuppression, heat stroke and allergy induced by exercise.