A system (100 300) simultaneously applies compression and cooling to a body part. An ice bag (100) has a removable cap (140) for inserting ice and removing water. An air release valve (180) in the cap (140) allows release of air from the ice bag (100) without removing or loosening the cap. A compression wrap (300) is a unitary sheet (350) of elastic material having a central body (352) with straps (360, 362, 370, 372) extending therefrom. A hole (354) in the central body (352) receives the neck (1 16) of the ice bag (100), which is positioned over the body part. The unitary body (352) and straps (360, 362, 270, 372) of the sheet (350) apply pressure via the ice bag (100). Air released into the ice bag (100) from melting ice is removed via the air release valve (180) without disturbing the compression wrap (300) or the cap (140). The compression wrap (300) contracts to compensate for the volume of the released air, thus maintaining continuous pressure on and thermal contact with the body part.
