I was mining, and there was a point where if I go down a few blocks, I start losing heat rapidly: But if I go back up to the platform directly above it, my heat starts regaining rapidly. What's going on? And does it have to do with that blue and gold thing next to the thermometer in the first screenshot?
In Starbound, planets can have multiple biomes, both above the surface and below the surface. This means a planet can have up to 4 biomes... Or more, counting any special biomes that may pop up from time to time.
This means that your above-ground biome could be warm, and then underground would be freezing, even though it's using the same tileset (coloured dirt, type of cobblestone, etc.)
The reason it suddenly went from warm to cold is because in Starbound, biome transitions aren't smooth; they sudden. Basically, once you pass the biome borders, the new effect kicks in 100% and straight away.
Note: When spleunkering, the underground sometimes changes biomes several times. This is because underground biomes have several layers. ie. Layer 200 to -9 is normal (above ground), layers -10 to -500 is freezing, then -501 to -2000 is normal, -2001 to -3000 is freezing and then -3001 to -4000 is magma rock; warm.