The gut microbiota plays a key role in host metabolic thermogenesis by activating UCP1 and increasing the browning process of white adipose tissue (WAT), especially in cold environments. However, the crosstalk between the gut microbiota and the host, which lacks functional UCP1, making them susceptible to cold stress, has rarely been illustrated. We used male piglets as a model to evaluate the host response to cold stress via the gut microbiota (four groups: room temperature group, n = 5; cold stress group, n = 5; cold stress group with antibiotics, n = 5; room temperature group with antibiotics, n = 3). We found that host thermogenesis and insulin resistance increased the levels of serum metabolites such as glycocholic acid (GCA) and glycochenodeoxycholate acid (GCDCA) and altered the compositions and functions of the cecal microbiota under cold stress. The gut microbiota was characterized by increased levels of Ruminococcaceae, Prevotellaceae, and Muribaculaceae under cold stress. We found that piglets subjected to cold stress had increased expression of genes related to bile acid and short-chain fatty acid (SCFA) metabolism in their liver and fat lipolysis genes in their fat. In addition, the fat lipolysis genes CLPS, PNLIPRP1, CPT1B, and UCP3 were significantly increased in the fat of piglets under cold stress. However, the use of antibiotics showed a weakened or strengthened cold tolerance phenotype, indicating that the gut microbiota plays important role in host thermogenesis. Our results demonstrate that the gut microbiota-blood-liver and fat axis may regulate thermogenesis during cold acclimation in piglets.