This study investigated the differences between males and females in autonomic functions and cognitive performance during cold-air exposure and cold-water partial-immersion compared to a room temperature-air environment. Although several studies have investigated the effects of cold-air or cold-water exposures on autonomic function and cognitive performance, biological sex differences are often under-researched. Twenty-two males and nineteen females participated in the current study. Subjects completed a battery of cognitive tasks based upon those used within the Defense Automated Neurobehavioral Assessment (DANA), consisting of five subtasks that assess simple and procedural reaction time, spatial manipulation, attention, and immediate memory. In total, subjects took the battery within a 15-minute period across 30-minute intervals throughout the duration of environmental exposure. Across three separate days, subjects were exposed to three different environmental conditions: room temperature air (23°C), cold air (10°C), and cold water (15°C; in which subjects were immersed up to their necks). Room temperature and cold-air conditions consisted of five sessions (about 2.5h), and the cold-water condition consisted of three sessions (about 1.5h). During each experimental condition, physiological data were collected to assess autonomic function, including electrodermal activity (EDA) data and heart rate variability (HRV) derived from electrocardiogram signals. Females showed slower reaction time in spatial manipulation tasks, immediate memory, and attention during cold-air exposures compared to room temperature air, whereas the performance of males were similar or better during cold-air exposures compared to room temperature air. Cold-water immersion affected the immediate memory performance of males. Both males and females exhibited smaller EDA amplitudes during cold-air and cold-water conditions compared to room temperature air. For HRV, only male subjects exhibited significantly greater values in low-frequency and very-low-frequency components during cold air exposure compared to the normal condition. Sex introduces important differences in cognitive performance and autonomic functions during exposure to cold-air and cold-water. Therefore, sex should be considered when assessing the autonomic nervous system in cold environments and when establishing optimal thermal clothing for performance in operational environments. Our findings can assist with determination of operational clothing, temperature in operating environment, and personnel deployment to operational sites, particularly in settings involving both males and females.