Methyl jasmonate (MJ) is an important plant growth regulator that plays a key role in tolerance to biotic and abiotic stresses. In this research, the effects of exogenous MJ on cold tolerance, photosynthesis, activity and gene expression of antioxidant enzymes, proline accumulation, and expression of cold-regulated (COR) genes in wheat seedlings under low temperature (4 °C) were investigated. Exogenous MJ treatment (1 µM) promoted wheat cold tolerance before and during cold exposure. Low temperature significantly decreased photosynthetic parameters, whereas MJ application led to their partial recovery under cold exposure. Hydrogen peroxide (H2O2) and malondialdehyde (MDA) levels increased in response to low temperature, and this was counteracted by MJ application. Exogenous MJ significantly enhanced the activities of antioxidant enzymes and upregulated the expression of MnSOD and CAT during cold exposure. MJ application also led to enhanced proline content before 4 °C exposure, whereas the P5CS gene expression was upregulated by MJ’s presence at both normal (22 °C) and low (4 °C) temperatures. It was also shown that MJ tended to upregulate the expression of the COR genes WCS19 and WCS120 genes. We conclude that exogenous MJ can alleviate the negative effect of cold stress thus increasing wheat cold tolerance.