Exercise in the heat is a common occurrence among athletes and often is intentional in order to gain heat acclimation benefits, however, little is known about how such training may affect sleep. Therefore, this study investigated five days of training in the heat of varying intensity and duration and inclusion of cold-water immersion (CWI) recovery on sleep quantity and quality. Thirty recreationally-trained male participants completed five days of heat training (HT) and were randomised into three interventions including (i) 90 min cycling at 40% power at maximal aerobic capacity (Pmax) with 15 min passive recovery (90HT); (ii) 90 min cycling at 40% Pmax with 15 min CWI recovery (90CWI); or (iii) 30 min cycling alternating between 40% and 70% Pmax, with 15 min passive recovery (30HT). Sleep quality and quantity were assessed using Actigraphy and sleep diaries during five baseline nights (BASE) and five nights of HT which included subjective sleep quality and objective assessments of sleep quantity and quality. Total time asleep and perceived sleep quality were reduced, while awake duration and wake after sleep onset (WASO) were increased (p = 0.001–0.01) during HT compared to BASE. Latency was shorter for 30HT compared to 90HT during HT (p = 0.02), however, no differences between interventions for all other sleep variables (p > 0.05). The reduction in total sleep time due to increases in average wake duration during HT may be due to the unaccustomed increased in training frequency. Of note, reducing training in the heat duration per day improved sleep latency and sleep quality with no effect on total sleep time, while the addition of CWI has minimal effect on sleep quality or quantity.