In order to achieve the purpose of subgrade frost damage control and waste utilization, this paper proposes a specific kind of composite subgrade structure which is suitable for subgrade in seasonal frozen regions, especially wet subgrade. The composite subgrade structure is composed of extruded polystyrene (XPS) plates as a cold resistance layer and modified subgrade soil with excellent frost resistance which can consume a lot of oil shale residue and fly ash. To provide valuable reference for engineering applications, an outdoor model test is designed and carried out based on indoor test results and actual engineering data. The cold resistance performance of this new type subgrade structure is evaluated by comparing the temperature distribution, energy transfer, and freezing index of the composite subgrade and the common subgrade during the freezing process. The results show that, firstly, the cold resistance layer can effectively preserve temperature inside the subgrade and form a positive temperature zone beneath XPS plates, which can ensure that the subgrade soil in a certain range will not freeze during the freezing period. Secondly, the position with the best cold resistance effect of the cold resistance layer is directly under the XPS plate. In actual application, the key position should be covered as completely as possible by XPS plates to ensure the cold resistance effect. Thirdly, the cold resistance layer can not only protect subgrade soil under XPS plates from frost damage, but also raise and keep the service temperature of the structure above XPS plates in a certain range, which is beneficial to the cold resistance durability of the entire road. This means that the composite subgrade can greatly reduce the occurrence of subgrade frost damage, thereby even improving the service capability of roads in seasonal frozen regions.