Pine beetles are well known in North America for their widespread devastation of pine forests. However, Dendroctonus valens LeConte is an important invasive forest pest in China also. Adults and larvae of this bark beetle mainly winter at the trunks and roots of Pinus tabuliformis and Pinus sylvestris; larvae, in particular, result in pine weakness or even death. Since the species was introduced from the United States to Shanxi in 1998, its distribution has spread northward. In 2017, it invaded a large area at the junction of Liaoning, Inner Mongolia and Hebei provinces, showing strong cold tolerance. To identify genes relevant to cold tolerance and the process of overwintering, we sequenced the transcriptomes of wintering and non-wintering adult and larval D. valens using the Illumina HiSeq platform. Differential expression analysis methods for other non-model organisms were used to compare transcript abundances in adults and larvae at two time periods, followed by the identification of functions and metabolic pathways related to genes associated with cold tolerance. We detected 4,387 and 6,091 differentially expressed genes (DEGs) between sampling dates in larvae and adults, respectively, and 1,140 common DEGs, including genes encoding protein phosphatase, very long-chain fatty acids protein, cytochrome P450, and putative leucine-rich repeat-containing proteins. In a Gene Ontology (GO) enrichment analysis, 1,140 genes were assigned to 44 terms, with significant enrichment for cellulase activity, hydrolase activity, and carbohydrate metabolism. Kyoto Encyclopedia of Genes and Genomes (KEGG) classification and enrichment analyses showed that the lysosomal and purine metabolism pathways involved the most DEGs, the highly enriched terms included autophagy—animal, pentose and glucuronate interconversions and lysosomal processes. We identified 140 candidate genes associated with cold tolerance, including genes with established roles in this trait (e.g., genes encoding trehalose transporter, fructose-1,6-bisphosphatase, and trehalase). Our comparative transcriptome analysis of adult and larval D. valens in different conditions provides basic data for the discovery of key genes and molecular mechanisms underlying cold tolerance.