It is a tributary of the Connecticut River, which flows to Long Island Sound.

The Cold River begins at the outlet of Crescent Lake in the northeastern corner of the town of Acworth.

The river flows east into the town of Lempster, then turns south and reenters Acworth.

The river reaches the Connecticut just south of the communities of Bellows Falls, Vermont, and North Walpole, New Hampshire.

In October 2005, flooding on the Cold River and its tributaries caused severe damage in the towns of Alstead, Acworth, and Walpole.