Background: Cold water immersion (CWI) has gained attention as a potential strategy for improving mental health. Although studies demonstrate consistent mood‐enhancing effects following sea swimming and controlled CWI, the role of environmental context remains unclear. No previous studies have directly compared natural and artificial immersion settings using a within‐subjects design. This study aimed to isolate the influence of immersion environment on acute mood outcomes. Methods: Twenty‐seven healthy university students (16 males, 11 females; age 20 ± 4 years, height 1.71 ± 0.08 m, mass 70.4 ± 9.2 kg) completed a within‐subject crossover design comparing two CWIs: one in the sea and one in a laboratory tank, 1 week apart. Mood was assessed using the Profile of Mood States—Short Form (POMS‐SF) before and after a 5‐min chest‐deep immersion. Immersions were completed individually to minimise social facilitation. One‐ and two‐way repeated measures ANOVAs analysed total mood disturbance (TMD) and subscales, with Bonferroni‐corrected post hoc t‐tests. Results: Mood improved significantly following both immersions and across all subscales. Paired‐sample t‐tests showed greater reductions in TMD (t(26) = −2.69, p = 0.012, d = −0.52) and larger increases in esteem‐related affect (t(26) = 2.41, p = 0.023, d = 0.46) after sea immersion compared to laboratory immersion. A trend in favour of sea immersion was also observed for vigour (t(26) = −1.998, p = 0.056, d = −0.38). Although all negative subscales improved over time, no significant between‐condition differences were found. Analysis of TMD change scores showed that 13 participants (48%) responded similarly across both conditions, 10 (37%) improved more in the sea, and 4 (15%) improved more in the laboratory. Conclusion: CWI significantly improved mood across both conditions. Sea immersion produced slightly greater benefits, suggesting that natural environments may modestly enhance the psychological effects of cold exposure.