As an example, there was a study that eating a handful of almonds every day is correlated with a bunch of positive health outcomes. Then a follow-up paper determined that this is simply because nuts are a relatively expensive snack, so they're eaten regularly mostly by wealthier people. It's well established that being poor is bad for your health, and conversely being rich tends to allow healthy lifestyles in general.

The kind of people that take cold showers are the "health-nut" types that prioritise healthy living over comfort. They're a rare, self-selecting subset of the general population.

It's extremely difficult to do good science based on statistics of self-selecting groups, or groups highly correlated with wealth.