Cemented sand and gravel (CSG) dams have been widely applied due to their simple construction and use of local materials. With the increasing occurrence of extreme weather events, temperature has become an important factor affecting the safe operation of dams. To investigate the temperature stress response of CSG dams under low-temperature conditions and achieve cross-scale analysis, an adaptive macro–meso finite element method is proposed. Through an iterative “solution–evaluation–mesh adjustment” procedure, meso-scale modeling is performed in high-stress regions, and the results are compared with those obtained using the conventional submodeling method. The results show that, under low-temperature conditions, temperature gradients and thermal stresses are mainly concentrated near the dam surface, with limited influence on the interior, while hydraulic load remains the dominant controlling factor. The local stress distribution patterns obtained by the two methods are generally consistent, and both can reflect stress concentration near the aggregate–mortar interfaces. The proposed method can characterize local meso-scale responses within a global computational framework, providing a reference for cross-scale analysis of the temperature response and the identification of local unfavorable stress regions in CSG dams.