Cold stress is one of the major environmental factors that affects plant growth, development, and species distributions. In order to study the molecular mechanism of cold-stress responses in Anabasis aphylla seedlings, we used the isobaric tags for relative and absolute quantification (iTRAQ) technique to identify differential protein expression under cold stress. In total, 211 differentially expressed proteins were identified, including 109 up-accumulated proteins and 102 down-accumulated proteins, these cold-stress response proteins were mainly identified as proteins involved in carbohydrate and energy metabolism, protein metabolism and translation, stress response, transcription-related, amino acid metabolism, signal transduction, and membrane and transport. GO and Kyoto Encyclopedia of Genes and Genomes pathway enrichment analyses indicated that most of the proteins related to cold-stress response were involved in carbohydrate and energy metabolism, indicating A. aphylla seedlings adapted to cold conditions mainly through changes in energy metabolism pathways. Additionally, the correspondence between mRNA transcript levels and protein abundance levels for nine accumulated proteins were also tested by qRT-PCR, only one protein did not show consistent trends in mRNA and protein levels. These data clarify our current understandings of stress responses in seedlings of species such as A. aphylla and identify the molecular mechanisms of the cold-stress responses.