Wheat production is often impacted by pre-winter freezing damage and cold spells in later spring. To study the influences of cold stress on wheat seedlings, unstressed Jing 841 was sampled once at the seedling stage, followed by 4 °C stress treatment for 30 days and once every 10 days. A total of 12,926 differentially expressed genes (DEGs) were identified from the transcriptome. K-means cluster analysis found a group of genes related to the glutamate metabolism pathway, and many genes belonging to the bHLH, MYB, NAC, WRKY, and ERF transcription factor families were highly expressed. Starch and sucrose metabolism, glutathione metabolism, and plant hormone signal transduction pathways were found. Weighted Gene Co-Expression Network Analysis (WGCNA) identified several key genes involved in the development of seedlings under cold stress. The cluster tree diagram showed seven different modules marked with different colors. The blue module had the highest correlation coefficient for the samples treated with cold stress for 30 days, and most genes in this module were rich in glutathione metabolism (ko00480). A total of eight DEGs were validated using quantitative real-time PCR. Overall, this study provides new insights into the physiological metabolic pathways and gene changes in a cold stress transcriptome, and it has a potential significance for improving freezing tolerance in wheat.