Cultivated alfalfa (Medicago sativa L.) is one of the most important perennial legume forages in the world, and it has considerable potential as a valuable forage crop for livestock. However, the molecular mechanisms underlying alfalfa responses to cold stress are largely unknown. In this study, the transcriptome changes in alfalfa under cold stress at 4 °C for 2, 6, 24, and 48 h (three replicates for each time point) were analyzed using the high-throughput sequencing platform, BGISEQ-500, resulting in the identification of 50,809 annotated unigenes and 5283 differentially expressed genes (DEGs). Metabolic pathway enrichment analysis demonstrated that the DEGs were involved in carbohydrate metabolism, photosynthesis, plant hormone signal transduction, and the biosynthesis of amino acids. Moreover, the physiological changes of glutathione and proline content, catalase, and peroxidase activity were in accordance with dynamic transcript profiles of the relevant genes. Additionally, some transcription factors might play important roles in the alfalfa response to cold stress, as determined by the expression pattern of the related genes during 48 h of cold stress treatment. These findings provide valuable information for identifying and characterizing important components in the cold signaling network in alfalfa and enhancing the understanding of the molecular mechanisms underlying alfalfa responses to cold stress.