Osmanthus fragrans is a popular ornamental and odorant plant with high commercial value, but its cultivation and exploitation are limited by low temperature. The ZAT (zinc finger of Arabidopsis thaliana) genes as a subclass of the C2H2-type zinc finger proteins (C2H2-ZFP) family play essential roles in various abiotic stresses. However, their roles in cold stress response in O. fragrans remain unclear. This study identified 38 OfZATs, which could be divided into 5 subgroups based on the phylogenetic tree, with OfZATs in the same subgroup harboring similar gene structures and motif patterns. In addition, 49 segmental and 5 tandem duplication events were detected among OfZAT genes, while some OfZAT genes exhibited specific expression patterns in different tissues. Furthermore, two OfZATs were induced in salt stress and eight OfZATs responded to cold stress. Interestingly, OfZAT35 showed a continuously increasing expression trend under cold stress, while its protein showed nucleus localization with no transcriptional activation activity. Transiently transformed tobacco overexpressing OfZAT35 exhibited a significantly higher relative electrolyte leakage (REL) level and increased activities of superoxide dismutase (SOD), peroxidase (POD), and Ascorbate peroxidase (APX), while there was significantly decreased activity of catalase (CAT). Moreover, CAT, DREB3, and LEA5, which are associated with cold stress, were dramatically decreased after cold treatment in transiently transformed tobacco, suggesting that overexpression of OfZAT35 negatively regulated cold stress. This study provides a basis for exploring the roles of ZAT genes and contributes to uncovering the mechanism of ZAT-mediated cold stress response in O. fragrans.