The time course of physiological and psychological markers during cold acclimation (CA) was explored. The experiment included 17 controlled (i.e., until the rectal temperature reached 35.5°C or 170 min had elapsed; for the CA-17 session, the subjects (n = 14) were immersed in water for the same amount of time as that used in the CA-1 session) head-out water immersions at a temperature of 14°C over 20 days. The data obtained in this study suggest that the subjects exhibited a thermoregulatory shift from peripheral-to-central to solely central input thermoregulation, as well as from shivering to non-shivering thermogenesis throughout the CA. In the first six CA sessions, a hypothermic type of acclimation was found; further CA (CA-7 to CA-16) led to a transitional shift to a hypothermic-insulative type of acclimation. Interestingly, when the subjects were immersed in water for the same time as that used in the CA-1 session (CA-17), the CA led to a hypothermic type of acclimation. The presence of a metabolic type of thermogenesis was evident only under thermoneutral conditions. Cold-water immersion decreased the concentration of cold-stress markers, reduced the activity of the innate immune system, suppressed specific immunity to a lesser degree and yielded less discomfort and cold sensation. We found a negative correlation between body mass index and Δ metabolic heat production before and after CA.