A bamboo shoot is the immature stem of the woody grass and a nutritious and popular vegetable in East Asia. However, it undergoes a rapid xylogenesis process right after harvest, even being stored in a cold chamber. To investigate the molecular regulation mechanisms of xylogenesis in Moso bamboo (Phyllostachys edulis) shoots (MBSes) during cold storage, the measurement of cell wall polymers (cellulose, hemicellulose, and lignin) and related enzyme activities (phenylalanine ammonia lyase (PAL), cinnamyl alcohol dehydrogenase (CAD), peroxidase (POD), and xylan xylosyltransferase (XylT)) and transcriptomic analysis were performed during cold storage. It was noticed that cellulose and lignin contents increased, while hemicellulose content exhibited a downward trend. PAL, CAD, and POD activity presented an upward trend generally in MBS when stored at 4 °C for 16 days. XylT activity showed a descending trend during the stages of storage, but slightly increased during the 8th to 12th days after harvest at 4 °C. Transcriptomic analysis identified 72, 28, 44, and 31 functional unigenes encoding lignin, cellulose, xylan biosynthesis enzymes, and transcription factors (TFs), respectively. Many of these secondary cell wall (SCW)-related genes showed higher expression levels in the later period of cold storage. Quantitative RT-PCR analysis of the selected genes conformed to the expression pattern. Our study provides a comprehensive analysis of MBS secondary wall biosynthesis at the molecular level during the cold storage process. The results give insight into the xylogenesis process of this economically important vegetable and shed light on solving this problem of the post-harvest industry.