Cold-water immersion (e.g. adapted cold showers, partial or whole-body immersion, cold swimming) are nowadays increasingly being used as an adjunctive procedure to enhance the effects of primary treatment of various clinical conditions, including depressive and anxiety disorders. This brief article reviews the evidence regarding the beneficial effects of cold-water immersion on clinical depression and anxiety and outlines potential therapeutic mechanisms underlying the intervention. Promising avenues for future research and best practice recommendations are also discussed to improve the clinical effectiveness of cold-water immersion.