Aurantiochytrium is a promising docosahexaenoic acid (DHA) production candidate due to its fast growth rate and high proportions of lipid and DHA content. In this study, high-throughput RNA sequencing technology was employed to explore the acclimatization of this DHA producer under cold stress at the transcriptional level. The overall de novo assembly of the cDNA sequence data generated 29,783 unigenes, with an average length of 1,200 bp. In total, 13,245 unigenes were annotated in at least one database. A comparative genomic analysis between normal conditions and cold stress revealed that 2,013 genes were differentially expressed during the growth stage, while 2,071 genes were differentially expressed during the lipid accumulation stage. Further functional categorization and analyses showed some differentially expressed genes were involved in processes crucial to cold acclimation, such as signal transduction, cellular component biogenesis, and carbohydrate and lipid metabolism. A brief survey of the transcripts obtained in response to cold stress underlines the survival strategy of Aurantiochytrium; of these transcripts, many directly or indirectly influence the lipid composition. This is the first study to perform a transcriptomic analysis of the Aurantiochytrium under low temperature conditions. Our results will help to enhance DHA production by Aurantiochytrium in the future.