Cold Cave was formed in 2007 as a solo project for musician Wesley Eisold. Wesley Eisold, born with one hand which led him to electronic music, began his musical journey with hardcore groups Give Up the Ghost and Some Girls before founding Heartworm Press. Cold Cave marked his first venture into instrumentation.
After initial releases on Dais Records, Hospital Productions, What's Your Rupture?, and Heartworm Press, Wesley Eisold signed to Matador Records in 2009, who re-released his self-released debut album Love Comes Close. In April 2011, the label released his second album, Cherish the Light Years, Cold Cave then began a series of tours. His third studio album, Full Cold Moon came out in 2014 and was followed by several tours. He embarked on an extensive tour of Asia. In October 2013, Cold Cave toured with Nitzer Ebb frontman Douglas McCarthy, and opened for Nine Inch Nails on their European and UK tour in May 2014. In April 2023, it was announced that Cold Cave would tour in support of Depeche Mode's Memento Mori World Tour.