Wellness enthusiasts, athletes, and maybe even your gym buddy are regularly praising ice baths for a wide range of benefits. Ancient Egyptians and Hippocrates all have touted the healing benefits of cold water. Research shows that the effectiveness of ice baths depends on their intended purpose. How to take an ice bathAn ice bath or cold plunge typically involves immersing yourself in frigid water—either in a tub filled with ice or a naturally cold body of water. When you plunge into cold water, your blood vessels also narrow—a process called vasoconstriction—to preserve heat, she says.