China produces large amount of cotton stalk (CS) residues as agricultural biomass, which are incinerated on-site, causing air pollution. The high organic content of CS could be utilized for biogas production, but the direct digestion without pretreatment always leads to a low methane yield and biodegradability, due to the complicated structure of lignocellulose. In order to search best fitting pretreatment methods in effective anaerobic digestion (AD) of CS, effects of various pretreatments including KOH, NaOH, Ca(OH)2, alkali hydrogen peroxide (AHP), H2SO4, H3PO4 and steam explosion (SE) were studied. It was seen that all treatments resulted in varying methane yields. Among all the pretreatments, acid pretreatment is not suitable for AD of CS. The results showed that the highest cumulative methane yield (CMY) of 192.4 mL·gVS−1 was obtained after 3% AHP pretreatment of CS, and the methane yield improved by 254.3% than the untreated CS. Therefore, AHP treatment was proven to be an efficient pretreatment technique. XRD and FTIR analyses had shown that pretreated CS had favorable structural changes. This research is beneficial in developing environment friendly and cost-effective pretreatment technologies to utilize CS for methane production in future application.