Physiological and psychological recovery, i.e., the balance between fatigue/stress and recovery and evaluated through heart rate variability (HRV), is essential for the good performance of athletes in all their activities. Cold water immersion (CWI) has been shown to reduce the negative effects of fatigue/stress by inducing physiological and biochemical changes that promote faster recovery. This study aims to analyze the scientific literature on the effects of CWI on post-exercise recovery, as measured by HRV in athletes. A systematic review of randomized clinical trials (RCTs) was conducted following PRISMA guidelines. Databases such as Scopus, Web of Science, and MEDLINE were included it. The risk of bias of each study selected was assessed using Cochrane's guidelines for RCT. Twelve articles were included. All studies reported parasympathetic reactivation with CWI after physical exertion. Six studies demonstrated statistically significant results (p < 0.05) compared to a passive recovery, while eight studies reported moderate to large effect sizes. The results of this study indicate that CWI after exercise may have a positive acute effect on parasympathetic reactivation, as measured by HRV.