In the context of global warming, cold waves have generated less interest in the scientific community than heat waves, despite their impacts on public health, transport infrastructures and energy consumption. The present study analyses climate change scenarios with simulations of the EURO-CORDEX project, using the Excess Cold Factor (ECF) index for the Iberian Peninsula and Balearic Islands (IPB). The dimensions of intensity, frequency, duration and spatial extent are evaluated for the near future (2021–2050) with respect to the historical period of reference (1971–2000). The projections show a significant overall decrease in all dimensions. The mean change in maximum cold wave intensity is −50% over most of the IPB as a whole in the near future (2021–2050). The largest changes occur in the interior of the Peninsula, where the decrease is around −100%. The annual mean number of cold wave days decreases for the IPB as a whole by −50% compared to 1971–2000, with the maximum extent decreasing by more than the mean, with decreases of between −2.4%/decade and − 5.5%/decade. Although a smaller number of cold waves suggests less human exposure, the acclimatisation of the population to higher temperatures will imply that cold waves will continue to pose a serious local threat.