Morchella, a highly valued medicinal and edible mushrooms, is experiencing an increasing demand; however, its cultivation is significantly influenced by climatic conditions and soil characteristics. Consequently, elucidating the mechanisms underlying Morchella mycelium’s response to temperature stress holds substantial importance for enhancing Morchella cultivation practices. In this study, we used Morchella sextelata as the research object and employed integrated transcriptomic and metabolomic analyses to evaluate the effects of cultivation temperatures set at 33 °C, 20 °C, and 4 °C on the vegetative mycelium of Morchella. Through these comprehensive analyses, we identified 2998 differentially expressed genes alongside 678 differentially accumulated metabolites. Utilizing Weighted Gene Co-expression Network Analysis (WGCNA), we constructed a co-expression network that revealed hub genes and metabolites within each module. Furthermore, through KEGG pathway analysis, we pinpointed significant metabolic pathways responsive to temperature stress—particularly those involved in purine metabolism, RNA degradation, two-component systems, ABC transporters, and pyruvate metabolism. Overall findings indicated that elevated temperatures exerted a more pronounced effect on M. sextelata mycelium compared to lower temperatures. These insights enhance our comprehension of the adaptive mechanisms of M. sextelata to thermal variations while providing valuable references for optimizing environmental temperature regulation in their cultivation as well as offering clues for selecting varieties capable of thriving under diverse thermal conditions.