The prevalence of asthma is high in winter endurance athletes with onset typically occurring during adolescence; later than classical asthma. It is well accepted that cold and dry air is involved in the pathogenesis, but nevertheless there remain gaps in current understanding of how cold air influences the immunological profile of the airways. This in part limits our ability to make recommendations about which environmental conditions are harmful to healthy athletes and at which temperatures training or racing should be modified or cancelled. Several studies have collectively demonstrated lymphocytic and neutrophilic inflammation in winter athletes with and without bronchial hyperresponsiveness (BHR), as well as a pro-inflammatory cytokine profile and damage-associated molecular patterns. Lymphocyte infiltration to bronchial tissues may increase during the winter competition season. Eosinophilic inflammation may distinguish between winter athletes with and without BHR. Single bouts of exercise in sub-zero temperatures increase biomarkers of airway damage such as serum Clara cell protein 16 to a greater extent than in warm, humid conditions. It remains to be investigated whether prolonged, steady-state or short, high-intensity exercise in sub-zero climates is more damaging to the airways. Moreover, the effect of protective devices such as heat-exchanger masks on airway immune responses warrants investigation.