Recovery methods, such as thermal interventions, have been developed to promote optimal recovery and maximize long-term training adaptations. However, the beneficial effects of these recovery strategies remain a source of controversy. This narrative review aims to provide a detailed understanding of how cold and heat interventions impact long-term training adaptations. Emphasis is placed on skeletal muscle adaptations, particularly the involvement of signaling pathways regulating protein turnover, ribosome and mitochondrial biogenesis, as well as the critical role of satellite cells in promoting myofiber regeneration following atrophy. The current literature suggests that cold interventions can blunt molecular adaptations (e.g., protein synthesis and satellite cell activation) and oxi-inflammatory responses after resistance exercise, resulting in diminished exercise-induced hypertrophy and lower gains in isometric strength during training protocols. Conversely, heat interventions appear promising for mitigating skeletal muscle degradation during immobilization and atrophy. Indeed, heat treatments (e.g., passive interventions such as sauna-bathing or diathermy) can enhance protein turnover and improve the maintenance of muscle mass in atrophic conditions, although their effects on uninjured skeletal muscles in both humans and rodents remain controversial. Nonetheless, heat treatment may serve as an important tool for attenuating atrophy and preserving mitochondrial function in immobilized or injured athletes. Finally, the potential interplay between exercise, thermal interventions and epigenetics is discussed. Future studies must be encouraged to clarify how repeated thermal interventions (heat and cold) affect long-term exercise training adaptations and to determine the optimal modalities (i.e., method of application, temperature, duration, relative humidity, and timing).