Annexins (ANNs) are a structurally conserved protein family present in almost all plants. In the present study, 27 GhANNs were identified in cotton and were unevenly distributed across 14 chromosomes. Transcriptome data and RT-qPCR results revealed that multiple GhANNs respond to at least two abiotic stresses. Similarly, the expression levels of GhANN4 and GhANN11 were significantly upregulated under heat, cold, and drought stress. Using virus-induced gene silencing (VIGS), functional characterization of GhANN4 and GhANN11 revealed that, compared with those of the controls, the leaf wilting of GhANN4-silenced plants was more obvious, and the activities of catalase (CAT), peroxidase (POD), and superoxide dismutase (SOD) were lower under NaCl and PEG stress. Moreover, the expression of stress marker genes (GhCBL3, GhDREB2A, GhDREB2C, GhPP2C, GhRD20-2, GhCIPK6, GhNHX1, GhRD20-1, GhSOS1, GhSOS2 and GhSnRK2.6) was significantly downregulated in GhANN4-silenced plants after stress. Under cold stress, the growth of the GHANN11-silenced plants was significantly weaker than that of the control plants, and the activities of POD, SOD, and CAT were also lower. However, compared with those of the control, the elasticity and orthostatic activity of the GhANN11-silenced plants were greater; the POD, SOD, and CAT activities were higher; and the GhDREB2C, GhHSP, and GhSOS2 expression levels were greater under heat stress. These results suggest that different GhANN family members respond differently to different types of abiotic stress.