Nonpharmacological treatment strategies for acute musculoskeletal injury revolve around pain reduction and promotion of healing in order to facilitate a return to normal function and activity. Heat and cold therapy modalities are often used to facilitate this outcome despite prevalent confusion about which modality (heat vs cold) to use and when to use it. Most recommendations for the use of heat and cold therapy are based on empirical experience, with limited evidence to support the efficacy of specific modalities. This literature review provides information for practitioners on the use of heat and cold therapies based on the mechanisms of action, physiological effects, and the medical evidence to support their clinical use. The physiological effects of cold therapy include reductions in pain, blood flow, edema, inflammation, muscle spasm, and metabolic demand. There is limited evidence from randomized clinical trials (RCTs) supporting the use of cold therapy following acute musculoskeletal injury and delayed-onset muscle soreness (DOMS). The physiological effects of heat therapy include pain relief and increases in blood flow, metabolism, and elasticity of connective tissues. There is limited overall evidence to support the use of topical heat in general; however, RCTs have shown that heat-wrap therapy provides short-term reductions in pain and disability in patients with acute low back pain and provides significantly greater pain relief of DOMS than does cold therapy. There remains an ongoing need for more sufficiently powered high-quality RCTs on the effects of cold and heat therapy on recovery from acute musculoskeletal injury and DOMS.