Background: This study aimed to investigate the effects of cold water immersion (CWI) and contrast water therapy (CWT) on serum interleukin 6 and prostaglandin 2 levels in self-perceived exertion, and muscle soreness of elite race walkers over a 15-day high-intensity training period. Methods: Thirty elite male race walkers were randomly divided into three groups: control group (C, n = 10), cold-water immersion (CWI, n = 10) group, contrast water therapy (CWT, n = 10) group. After daily training, elite race walkers were exposed to either CWI (10 minutes at 10 {}^{\circ }C) or CWT (4 cycles of 2.5 minutes, alternately at 12 {}^{\circ }C and 38 {}^{\circ }C). Elite race walkers in the control group only performed simple stretching without any additional treatment. The serum interleukin 6, prostaglandin 2, self-perceived exertion, and muscle soreness were tested at 6 training points at baseline (B), light load-1 (L1), heavy load-1 (H1), medium load (M), heavy load-2 (H2), light load-2 (L2), respectively. Results: When compared with the CWT group, the interleukin 6 level, prostaglandin 2 level, self-perceived exertion, and muscle soreness of the C group were not significantly different. When compared with the CWT group, the interleukin 6 level in the CWI group was significantly lower at the time point of L1 and H2. Similarly, CWI significantly reduced the prostaglandin 2 levels at M and L2, except for H2. Self-perceived exertion and muscle soreness were not significantly different in both groups. Conclusions: The results from this study demonstrate that CWI may be more effective than CWT for reducing inflammatory markers at certain points in a training cycle, but it does appear that this effect can be induced in a predictable fashion.