Recent findings suggest that cold acclimation can enhance cold resistance in wheat. Dongnongdongmai 1 (DM1) is a winter wheat variety that can overwinter at −30 °C; however, its cold acclimation mechanism is yet to be fully elucidated. Here, we elucidated the potential mechanisms of cold acclimation in DM1 and the China Spring (CS) variety, especially the role of the antioxidant system, using transcriptome and physiological analyses. Cold stress increased H2O2 and O2− production in both varieties; however, CS had higher contents of H2O2 and O2− than DM1. Moreover, cold significantly increased ROS-scavenging activities in DM1, especially at 30 days after exposure. Gene ontology (GO) analysis showed that differentially expressed peroxidase (POD) genes were enriched in antioxidant activity, with most POD genes being significantly upregulated in DM1 under cold acclimation. Additionally, cold acclimation increased the expression of cold acclimation protein (CAP), late embryogenesis abundant protein (LEA), and cold-responsive genes in both varieties, with higher expression levels in DM1. Overall, the results showed that DM1 exhibited a higher cold tolerance than CS during cold acclimation by increasing the expression of POD genes, LEA, CAP, and cold-responsive proteins, improving the understanding of the mechanism of cold resistance in DM1.