The movement of excess phosphorus (P) into streams, rivers, and lakes poses a significant threat to water quality and the health of aquatic ecosystems and thus, P has been targeted for reduction. In landscapes dominated by agriculture, P is primarily transported through non-point sources, which a number of best management practices aim to target. One such practice is vegetated buffer strips (VBS), which are designed to use dense vegetation above the surface and extensive root systems below the surface to reduce runoff velocity, trap sediments, increase infiltration, and increase plant uptake of nutrients. The effectiveness of VBS in reducing P concentrations has been studied and reviewed, but most studies have been undertaken in warm or temperate climates, where runoff is primarily driven through summer rainfall events and when vegetation is actively growing. In cold climates, the majority of runoff occurs during the snowmelt period, when soils are frozen and vegetation has been flattened by snow and ice over the winter period and is not actively taking up nutrients. These conditions hinder the ability of VBS to work as designed. Additionally, frozen vegetation can release P after undergoing freeze–thaw cycles (FTCs). Thus, this review aimed to (i) summarize research designed to determine the effectiveness of VBS in reducing P transport in cold climates, (ii) collate research on the potential for vegetation to release P after undergoing FTCs, and (iii) identify research gaps to be addressed in determining VBS effectiveness in cold climates. Cold-climate VBS implemented in Canada, the northern United States, and northern Europe have shown P removal efficiencies ranging from −36% to +89%, a range that identifies the uncertainty surrounding the use of VBS in these landscapes. However, there is consensus among researchers globally that vegetation does release P after undergoing FTCs, though P concentrations from different species vary across studies. The design and management of VBS in cold climates requires careful consideration, and VBS may not always be the best management strategy to reduce P transport. Future research should be undertaken at a larger scale in natural systems and focus on VBS design and management strategies.