There are many important sport events that are organized in environments with a very hot ambient temperature (Summer Olympics, FIFA World Cup, Tour de France, etc.) and in hot locations (e.g., Qatar). Additionally, in the context of global warming and heat wave periods, athletes are often subjected to hot ambient temperatures. It is known that exercising in the heat induces disturbances that may provoke premature fatigue and negatively affects overall performance in both endurance and high intensity exercises. Deterioration in several cognitive functions may also occur, and individuals may be at risk for heat illnesses. To train, perform, work and recover and in a safe and effective way, cooling strategies have been proposed and have been routinely applied before, during and after exercise. However, there is a limited understanding of the influences of per-cooling on performance, and it is the subject of the present review. This work examines the influences of per-cooling of different areas of the body on performance in terms of intense short-term exercises (“anaerobic” exercises), endurance exercises (“aerobic” exercises), and cognitive functioning and provides detailed strategies that can be applied when individuals train and/or perform in high ambient temperatures.