The present invention provides a system for cooling antenna assemblies, such as subterranean RF antennas used to heat geological formations. The invention generally includes a radio frequency (RF) generator, a waveguide operatively connected to the RF generator and to the antenna, a supply of cooling gas and a cooling gas delivery tube. In one embodiment, a housing encloses the antenna, with the antenna and the waveguide defining a gas enclosure. The supply of cooling gas in this embodiment includes a regulated gas supply, a desiccator and a heat exchanger through which the gas passes. The cooling gas delivery tube is in fluid communication with the supply of cooling gas and extends downwardly within the gas enclosure to deliver cooled, dried gas to the gas enclosure. An alternative embodiment employs a coaxial transmission line as the waveguide, with the coaxial line having an inner tubular member received within a lumen of an outer tubular member. The cooling gas delivery tube in this embodiment extends along a length of a lumen of the inner tubular member and may have a diffuser carried adjacent its distal end for delivering a supply of cooling gas to the lumen of the inner tubular member.