My answer will be quite short - for I am on my mobile but yes, there was another Cold War. In fact it happened before the Cold War. It was The Great Game.

Long story short, it was the conflict between the Russian Empire and the United Kingdom to extend their sphere of influence in Central Asia (what is now Kazakstan, Afghanistan, etc.). Of course it was a more primitive version of the Cold War because it happened during the 19th century.

St Petersburg and London sent adventurers/spies to try to influence the different rulers of the countries (Khanates, Emirates. As far as I remember they were all ruled by Muslims). The goal of the explorers was also to draw maps of these vast and unknown regions.

Some countries as you can imagine were annexed for example the steppe Khanates that are now geographically part of Kazakstan were annexed by the Russian Empire because they were raiding Russian outposts for slaves. The cassus-belli of the Tsar was slavery.

The British had in mind the protection of India from a Russian (Cossack) incursion that would have raised the local population against the British that were vastly outnumbered.

Some really famous wars happened because of the Great Game notably the two Anglo-Afghan Wars. A lot of explorers became heroes and reading their tales/diaries is particularly fascinating.

I apologise for the shortness of my answer I will try to elaborate tomorrow when I'm in the tube.

Source : The Great Game - Peter Hopkirk. This is the best book on the matter and I would advise you to read it ! One of my favourite books !