This review focuses on the cold shock response of Escherichia coli. Change in temperature is one of the most common stresses that an organism encounters in nature. Temperature downshift affects the cell on various levels: (i) decrease in the membrane fluidity; (ii) stabilization of the secondary structures of RNA and DNA; (iii) slow or inefficient protein folding; (iv) reduced ribosome function, affecting translation of non-cold shock proteins; (v) increased negative supercoiling of DNA; and (vi) accumulation of various sugars. Cold shock proteins and certain sugars play a key role in dealing with the initial detrimental effect of cold shock and maintaining the continued growth of the organism at low temperature. CspA is the major cold shock protein of E. coli, and its homologues are found to be widespread among bacteria, including psychrophilic, psychrotrophic, mesophilic, and thermophilic bacteria, but are not found in archaea or cyanobacteria. Significant, albeit transient, stabilization of the cspA mRNA immediately following temperature downshift is mainly responsible for its cold shock induction. Various approaches were used in studies to detect cold shock induction of cspA mRNA. Sugars are shown to confer protection to cells undergoing cold shock. The study of the cold shock response has implications in basic and health-related research as well as in commercial applications. The cold shock response is elicited by all types of bacteria and affects these bacteria at various levels, such as cell membrane, transcription, translation, and metabolism.