Given the climatic changes around the world and the growing outdoor sports participation, existing guidelines and recommendations for exercising in naturally challenging environments such as heat, cold or altitude, exhibit potential shortcomings. Continuous efforts from sport sciences and exercise physiology communities aim at minimizing the risks of environmental-related illnesses during outdoor sports practices. Despite this, the use of simple weather indices does not permit an accurate estimation of the likelihood of facing thermal illnesses. This provides a critical foundation to modify available human comfort modeling and to integrate bio-meteorological data in order to improve the current guidelines. Although it requires further refinement, there is no doubt that standardizing the recently developed Universal Thermal Climate Index approach and its application in the field of sport sciences and exercise physiology may help to improve the appropriateness of the current guidelines for outdoor, recreational and competitive sports participation. This review first summarizes the main environmental-related risk factors that are susceptible to increase with recent climate changes when exercising outside and offers recommendations to combat them appropriately. Secondly, we briefly address the recent development of thermal stress models to assess the thermal comfort and physiological responses when practicing outdoor activities in challenging environments.