Long non-coding RNAs (lncRNAs) have been shown to play critical regulatory roles in plants. Ammopiptanthus nanus can survive under severe low-temperature stress, and lncRNAs may play crucial roles in the gene regulation network underlying the cold stress response in A. nanus. To investigate the roles of lncRNAs in the cold stress response of A. nanus, a combined lncRNA and mRNA expression profiling under cold stress was conducted. Up to 4890 novel lncRNAs were identified in A. nanus and 1322 of them were differentially expressed under cold stress, including 543 up-regulated and 779 down-regulated lncRNAs. A total of 421 lncRNAs were found to participate in the cold stress response by forming lncRNA–mRNA modules and regulating the genes encoding the stress-related transcription factors and enzymes in a cis-acting manner. We found that 31 lncRNAs acting as miRNA precursors and 8 lncRNAs acting as endogenous competitive targets of miRNAs participated in the cold stress response by forming lncRNA–miRNA–mRNA regulatory modules. In particular, a cold stress-responsive lncRNA, TCONS00065739, which was experimentally proven to be an endogenous competitive target of miR530, contributed to the cold stress adaptation by regulating TZP in A. nanus. These results provide new data for understanding the biological roles of lncRNAs in response to cold stress in plants.