Purpose: Cold water swimming (CWS) involves taking a regular dip in cold, natural waters throughout the winter. The evidence for the health benefits of CWS has been anecdotal, or from small-sample size studies. The available literature reports that CWS abolishes general tiredness, improves mood, boosts self-esteem and improves general well-being. However, research on the effects and safety of CWS as an add-on to the regular treatment of depression is limited. The aim of this study was to investigate whether it is possible and safe for patients with depression to participate in CWS. Material and methods: The study was designed as an open-label feasibility study. All patients aged 20–69 years with a diagnosis of depression from an outpatient clinic were eligible for inclusion. The intervention consisted of twice-weekly, group-based CWS. Results: Thirteen patients were initially recruited, and five patients participated on a regular basis. Although several patients had somatic comorbidities, all patients passed the somatic evaluation and were physically fit to participate in CWS. Patients who participated regularly in the CWS sessions had a well-being score of 39.2; at the end of the study, their score had increased to 54.0 and PSQI score at baseline was 10.4 (3.7); at the end of the study it was 8.0 ((3.7). Conclusion: This study indicates that it is possible and safe for patients with depression to participate in regular, supervised CWS. Furthermore, regular participation in CWS may improve sleep and well-being.