Cold stress causes changes in the lipid composition of Mortierella alpina. In order to investigate the molecular mechanisms of M. alpina in response to cold stress, transcriptome analyses were performed on three groups of M. alpina cultured at (1) 25 °C, (2) 15 °C, and (3) first at 25 °C for 2 days and then 15 °C for 7 days, respectively. The results of a gas chromatography–mass spectrometry (GC–MS) analysis suggested that, compared with 25 °C conditions, dry weight and lipid production were significantly decreased in M. alpina grown at 15 °C, with a total of 1552 differentially expressed genes (DEGs) identified in response to cold stress. The quantitative real-time PCR (qRT-PCR) analysis was conducted to verify the expression patterns of six DEGs involved in lipid metabolism. Results of the enrichment analyses of the DEGs based on the Gene Ontology (GO) and the Kyoto Encyclopedia of Genes and Genomes (KEGG) databases showed that fatty acid compositions were regulated by genes involved in the glycolysis pathway, fatty acid synthesis, the pentose phosphate pathway, the glycerolipid pathway, the tricarboxylic acid (TCA) cycle, and the glycerophospholipid pathway. Our study provided solid experimental evidence and novel insights into the metabolic engineering and the molecular mechanisms regulating the response to cold stress in M. alpina.