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Wearing ear plugs or ear muffs when in cold air prevents this pain from occurring.
Such discomfort also occurs when the ear is exposed to cold water (cold water swimming or SCUBA).
Why does this happen?
First of all, this cold air otalgia should be differentiated from ear pressure pain from barometric pressure changes induced by dramatic temperature differentials. If the ear pain is described more as "pressure," than you may be suffering from eustachian tube dysfunction. More info and treatment for eustachian tube dysfunction can be found here.
However, if the ear pain does not have any pressure discomfort associated with it, the otalgia is almost certainly due to sensory nerve over-stimulation... analogous to "brain freeze" that may occur when eating cold ice cream.
The skin of the ear canal is VERY thin without any fatty layer to insulate nerve endings from cold temperature stimulation.
Also, there are numerous different nerve endings that innervate the ear and the ear canal, almost like that found in the solar plexus.
• C2-4 Spinal Nerves (via Great Auricular and Lesser Occipital Nerves): Pain mainly over the mastoid
• Cranial Nerve 7 (via Posterior Auricular Nerve): Pain mainly behind the ear.
• Cranial Nerve 5 (via Auriculotemporal Nerve): Pain main in front of the ear.
• Cranial Nerve 9 (via Jacobson's Nerve): Pain deep in the ear.
• Cranial Nerve 10 (via Arnold's Nerve): Pain deep in the ear, but more in the ear canal.
Over-stimulation of these nerve endings found in or around the ear from cold air exposure can cause pain.
Once the cold air stimulation has stopped, the pain from the nerve over-stimulation will subside.
Unfortunately, there is no cure for this condition. The best thing to do is prevent the ear from being exposed to cold air via use of ear plugs or ear muffs. Some individuals will be more prone to this than others, just like brain freeze from eating cold things.