During winter commuting in severe cold regions, individuals often experience abrupt changes in environmental temperature and activity level. This study simulated a winter scenario in which participants moved from an indoor environment (24 ℃) to an outdoor environment, experienced short-term low-temperature commuting exposure (−15 ℃), and then returned indoors (24 ℃). The aim was to investigate the effects of combined changes in activity level and temperature on human subjective thermal responses and physiological reactions. A total of 24 participants wearing 1.7 clo clothing were recruited, including 12 males and 12 females. Three activity-intensity conditions were established: sitting (1.2 met), walking (3.5 met), and running (5.5 met). During the experiment, metabolic rate, heart rate, mean skin temperature, and core temperature were continuously measured, while overall and local thermal sensation, thermal comfort, thermal acceptability, and thermal preference votes were collected. The results showed that metabolic rate reached a stable state again within approximately 3–8 min after exercise cessation, whereas skin temperature required approximately 31–38 min. The time required for thermal sensation vote (TSV) to reach a stable thermal sensation state under different activity intensities was approximately 15 min, 20 min, and 30 min, respectively. The head, hands, calves, and feet were more sensitive to changes in the thermal environment (p < 0.01) and were the main body regions contributing to overall thermal discomfort. This study reveals the dynamic characteristics of human thermal responses during short-term winter cold exposure and recovery, providing a reference for thermal environment regulation in building transitional spaces and recovery phases.