Cold stress can induce neuronal apoptosis in the hippocampus, but the internal mechanism involving neuronal loss induced by cold stress is not clear. In vivo, male and female C57BL/6 mice were exposed to 4 °C, 3 h per day for 1 week. In vitro, HT22 cells were treated with different concentrations of cortisol (CORT) for 3 h. In vivo, CORT levels in the hippocampus were measured using ELISA, western blotting, and immunohistochemistry to assess the neuronal population and oxidation of the hippocampus. In vitro, western blotting, immunofluorescence, flow cytometry, transmission electron microscopy, and other methods were used to characterize the mechanism of mitochondrial damage induced by CORT. The phenomena of excessive CORT-mediated oxidation stress and neuronal apoptosis were shown in mouse hippocampus tissue following cold exposure, involving mitochondrial oxidative stress and endogenous apoptotic pathway activation. These processes were mediated by acetylation of lysine 9 of histone 3, resulting in upregulation involving Adenosine 5‘-monophosphate (AMP)-activated protein kinase (APMK) phosphorylation and translocation of Nrf2 to the nucleus. In addition, oxidation in male mice was more severe. These findings provide a new understanding of the underlying mechanisms of the cold stress response and explain the apoptosis process induced by CORT, which may influence the selection of animal models in future stress-related studies.