In this study, we aimed to evaluate the effects of Arbuscular mycorrhiza fungus (AMF) inoculation, foliar application of zinc oxide and selenium nanoparticles (ZnO-NPs and Se-NPs), and their combined interactions on the growth and productivity of chili pepper under cold-stress conditions. Two field experiments were successfully conducted during the winter seasons of 2021 and 2022 in an experimental field at the Faculty of Agriculture, Cairo University, Giza, Egypt. The results showed that, under cold stress, the combination of AMF inoculation and ZnO-NPs + Se-NPs as a foliar spray increased the average fruit weight by 92.4% and 98.7%, and the number of fruits by 34.6% and 54.8 compared to control treatment in the 2021 and 2022 seasons, respectively. Additionally, the combination of AMF and a mixture of nanoparticles (ZnO-NPs + Se-NPs) significantly increased the total marketable yield by 95.8% and 94.7% compared to the control, which recorded values of 2.4 and 1.9 kg m−2 in the 2021 and 2022 seasons, respectively. Furthermore, the combination of AMF and a mixture of nanoparticles (ZnO-NPs + Se-NPs) showed the highest total content of ascorbic acid and capsaicin in chili fruits compared to the other treatments. The combination of AMF and a mixture of nanoparticles (ZnO-NPs + Se-NPs) stimulated the accumulation of peroxidase (POD) and nitrogen glutamate dehydrogenase (GDH) while decreasing hydrogen peroxide (H2O2) and lipid peroxidation (MDA) contents. SDS analysis revealed that the application of ZnO-NPs, Se-NPs, AMF + ZnO-NPs, and AMF + ZnO-NPs + Se-NPs induced the emergence of new protein bands and reconstitution of those damaged by cold stress. Regarding histological structure, the combination of AMF inoculation and ZnO-NPs + Se-NPs as a foliar spray showed an enhancement in the thickness of grana thylakoids and increased the number of chloroplasts. Intriguingly, the findings showed that AMF and a mixture of nanoparticles (ZnO-NPs + Se-NPs) could offer guidance for increasing plant development and productivity under cold-stress conditions.