Low-temperature stress limits the growth and development of foxtail millet. Freezing stress caused by sudden temperature drops, such as late-spring coldness, often occurs in the seedling stage of foxtail millet. However, the ability and coping strategies of foxtail millet to cope with such stress are not clear. In the present study, we analyzed the self-regulatory mechanisms of freezing stress in foxtail millet. We conducted a physiological study on foxtail millet leaves at −4 °C for seven different durations (0, 2, 4, 6, 8, 10, and 12 h). Longer freezing time increased cell-membrane damage, relative conductance, and malondialdehyde content. This led to osmotic stress in the leaves, which triggered an increase in free proline, soluble sugar, and soluble protein contents. The increases in these substances helped to reduce the damage caused by stress. The activities of superoxide dismutase, peroxidase, and catalase increased reactive oxygen species (ROS) content. The optimal time point for the response to freezing stress was 8 h after exposure. The transcriptome analysis of samples held for 8 h at −4 °C revealed 6862 differentially expressed genes (DEGs), among which the majority are implicated in various pathways, including the starch and sucrose metabolic pathways, antioxidant enzyme pathways, brassinolide (BR) signaling pathway, and transcription factors, according to Gene Ontology (GO) and Kyoto Encyclopedia of Genes and Genomes (KEGG) enrichment. We investigated possible crosstalk between BR signals and other pathways and found that BR signaling molecules were induced in response to freezing stress. The beta-amylase (BAM) starch hydrolase signal was enhanced by the BR signal, resulting in the accelerated degradation of starch and the formation of sugars, which served as emerging ROS scavengers and osmoregulators to resist freezing stress. In conclusion, crosstalk between BR signal transduction, and both starch and sucrose metabolism under freezing stress provides a new perspective for improving freezing resistance in foxtail millet.