At the 1912 Olympic Games, he won the 5,000m, the 10,000m and the individual cross-country race, in which he also won a silver medal in the team event. In his 5,000m victory he broke the world record and was the first person to run the distance under 15 minutes. He also set a world record for 3,000m in a heat of the team event.
The cancellation of the 1916 Games undoubtedly prevented Kölehmainen from winning more Olympic honours at track events. However, he turned to the roads, having run his first marathon in 1907. Kölehmainen finished 4th in the 1917 Boston Marathon, and in 1920 at Antwerp, he won the gold medal in the marathon. He later set world records over both 25km and 30km.
At the 1952 Olympic Games in Helsinki, Kölehmainen was chosen to light the Olympic Cauldron at the Opening Ceremony, after receiving the Olympic Flame from Paavo Nurmi, who carried the flame into the stadium.