Background: Cold-induced vasodilation (CIVD) is a phenomenon that refers to a paradoxical increase in finger temperature that sometimes occurs during cold exposure. The aim of this study was to compare CIVD responses between women and men, during exposure to different environmental conditions. Methods: Seven men and seven women participated in a matched controlled study consisting of a familiarization protocol followed by three experimental sessions (cool (10.8 °C WBGT), thermoneutral (17.2 °C WBGT), and hot (27.2 °C WBGT)). In each session, participants were asked to immerse their left hand and foot in warm water (35 ± 1 °C) for five minutes. Thereafter, the left hand and foot were immersed in cold water (8 ± 1 °C) for 40 min. After that, the left hand and foot were removed from the water and participants remained seated for five minutes. Results: For a matched thermal stress, women experienced an elevated cardiovascular strain (heart rate and in some cases mean arterial pressure) and higher frequency of CIVD reactions (men: 31 vs. women: 60) in comparison to their male counterparts. Conclusions: The present study demonstrated that women experienced elevated cardiovascular strain and higher frequency of CIVD reactions, particularly in the toes, compared to their male counterparts during cold-water immersion.