I remember how at the beginning I was always hyperventilating when in contact with cold water. Now, I don't anymore, or not as much. It's still a small shock to the system, but I don't need to mouth breathe anymore.
According to Wim Hof, cold shower is exercise for your vascular system and heart. He writes:
When you take a cold shower, all of those little muscles in your vascular system — millions of them — are activated and exercised. Within ten days of taking these showers, you will notice that your heart rate has decreased significantly, as much as fifteen to thirty beats per minute, and that it remains that way twenty-four hours a day. That translates to a lot less stress.