Grafting is widely used to improve the resistance to abiotic stresses in cucurbit plants, but the effect and molecular mechanism of grafting on cold stress are still unknown in melon. In this study, phenotypic characteristics, physiological indexes, small-RNA sequencing and expression analyses were performed on grafted plants with pumpkin rootstock (PG) and self-grafted plants (SG) to explore the mechanism of changed cold tolerance by grafting in melon. Compared with SG plants, the cold tolerance was obviously enhanced, the malondialdehyde (MDA) content was significantly decreased and the activities of antioxidant enzymes (superoxide dismutase, SOD; catalase, CAT; peroxidase, POD) were significantly increased in PG plants. Depend on differentially expressed miRNA (DEM) identification and expression pattern analyses, cme-miR156b, cme-miR156f and chr07_30026 were thought to play a key role in enhancing low-temperature resistance resulting from grafting. Subsequently, 24, 37 and 17 target genes of cme-miR156b, cme-miR156f and chr07_30026 were respectively predicted, and 21 target genes were co-regulated by cme-miR156b and cme-miR156f. Among these 57 unique target genes, the putative promoter of 13 target genes contained the low-temperature responsive (LTR) cis-acting element. The results of qRT-PCR indicated that six target genes (MELO3C002370, MELO3C009217, MELO3C018972, MELO3C016713, MELO3C012858 and MELO3C000732) displayed the opposite expression pattern to their corresponding miRNAs. Furthermore, MELO3C002370, MELO3C016713 and MELO3C012858 were significantly downregulated in cold-resistant cultivars and upregulated in cold-sensitive varieties after cold stimulus, and they acted as the key negative regulators of low-temperature response in melon. This study revealed three key miRNAs and three putative target genes involved in the cold tolerance of melon and provided a molecular basis underlying how grafting improved the low-temperature resistance of melon plants.