Selecting alfalfa germplasm with high stress resistance forms the foundation for breeding new varieties of alfalfa (Medicago sativa L.). This study utilized two alfalfa varieties, WL298HQ and Gongnong No. 1, and subjected them to individual and combined cold and drought stress. By measuring the malondialdehyde (MDA) content among seven physiological and biochemical indices and through transcriptome sequencing of roots and leaves, we compared drought and cold resistance between varieties under various stress treatments. This study aimed to identify the primary regulatory genes and pathways, revealing the molecular mechanisms behind their responses to combined stresses. The results showed that under isolated drought and cold stress, the chlorophyll content of the two types of alfalfa significantly decreased (p < 0.05), while the content of MDA, peroxidase (POD), catalase (CAT), superoxide dismutase (SOD), proline (Pro), and soluble protein (SP) content increased (p < 0.05), quickly returning to normal levels upon rehydration. Compared to the control group, 41,103 and 41,831 differentially expressed genes were identified in WL298HQ and Gongnong No. 1, respectively. Differentially expressed genes in Gongnong No. 1 were significantly enriched in the “response to abiotic stimulus”, “response to abscisic stimulus”, and “response to cold” pathways. WL298HQ was enriched in “response to desiccation”, “gibberellic acid-mediated signaling pathway”, and “cellular response to gibberellin stimulus”. Additionally, nineteen genes were significantly concentrated in the abscisic acid (ABA) signaling pathway, with nine genes significantly upregulated in leaves and ten genes downregulated in roots, suggesting that different parts of the alfalfa respond to stress inconsistently. Our findings provide a theoretical basis for understanding the response mechanisms of alfalfa to combined drought and cold stress.