This paper reports a study on the effect of moisture management in the design of cold protective clothing. In this research, two kinds of clothing systems were tested, a traditional clothing system (clothing A), and a specially designed moisture management clothing system (clothing B). Both clothing systems have the same four-layer structure (underwear, vest, coat, and outer jacket), but with use of different functional fabrics. The experiments were conducted in a climate chamber where the temperature was controlled at —15 °C. Eleven young male subjects took part in wear trial experiments, in which they were dressed in clothing A or B and walked on a treadmill. The humidities and temperatures at the skin surface and at different layers of the clothing system were measured together with measurements of thermal and moisture sensations. The experimental results showed that the moisture management property of fabrics significantly affected the moisture diffusion and temperature distributions in the cold protective clothing systems, and influenced the thermal and moisture sensations.