Banana is an important tropical fruit with high economic value. One of the main cultivars (‘Cavendish’) is susceptible to low temperatures, while another closely related specie (‘Dajiao’) has considerably higher cold tolerance. We previously reported that some membrane proteins appear to be involved in the cold tolerance of Dajiao bananas via an antioxidation mechanism. To investigate the early cold stress response of Dajiao, here we applied comparative membrane proteomics analysis for both cold-sensitive Cavendish and cold-tolerant Dajiao bananas subjected to cold stress at 10°C for 0, 3, and 6 h. A total of 2,333 and 1,834 proteins were identified in Cavendish and Dajiao, respectively. Subsequent bioinformatics analyses showed that 692 Cavendish proteins and 524 Dajiao proteins were predicted to be membrane proteins, of which 82 and 137 differentially abundant membrane proteins (DAMPs) were found in Cavendish and Dajiao, respectively. Interestingly, the number of DAMPs with increased abundance following 3 h of cold treatment in Dajiao (80) was seven times more than that in Cavendish (11). Gene ontology molecular function analysis of DAMPs for Cavendish and Dajiao indicated that they belong to eight categories including hydrolase activity, binding, transporter activity, antioxidant activity, etc., but the number in Dajiao is twice that in Cavendish. Strikingly, we found peroxidases (PODs) and aquaporins among the protein groups whose abundance was significantly increased after 3 h of cold treatment in Dajiao. Some of the PODs and aquaporins were verified by reverse-transcription PCR, multiple reaction monitoring, and green fluorescent protein-based subcellular localization analysis, demonstrating that the global membrane proteomics data are reliable. By combining the physiological and biochemical data, we found that membrane-bound Peroxidase 52 and Peroxidase P7, and aquaporins (MaPIP1;1, MaPIP1;2, MaPIP2;4, MaPIP2;6, MaTIP1;3) are mainly involved in decreased lipid peroxidation and maintaining leaf cell water potential, which appear to be the key cellular adaptations contributing to the cold tolerance of Dajiao. This membrane proteomics study provides new insights into cold stress tolerance mechanisms of banana, toward potential applications for ultimate genetic improvement of cold tolerance in banana.