Cold stress is a major environmental factor affecting the growth, development, and productivity of various crop species. With the current trajectory of global climate change, low temperatures are becoming more frequent and can significantly decrease crop yield. Wheat (Triticum aestivum L.) is the first crop to be domesticated and is the most popular cereal crop in the world. Due to a lack of systematic research on cold response pathways and gene regulatory networks, the underlying molecular mechanisms of cold signal transduction in wheat are poorly understood. This study reviews recent progress in wheat, including the ICE-CBF-COR signaling pathway in cold stress and the effects of cold stress on hormonal pathways, reactive oxygen species (ROS), and epigenetic regulation. This review also highlights outstanding issues that are crucial for understanding the interactions between wheat and low-temperature conditions.