Cold stress has a serious impact on the overwintering survival and yield of genetically improved farmed tilapia (GIFT, Oreochromis niloticus). Understanding the physiological and molecular regulation mechanisms of low-temperature adaptation is necessary to help breed new tolerant strains. The semi-lethal low temperature of juvenile GIFT at 96 h was determined as 9.4 °C. We constructed and sequenced two small RNA libraries from head kidney tissues, one for the control (CO) group and one for the 9.4 °C-stressed (LTS) group, and identified 1736 and 1481 known microRNAs (miRNAs), and 164 and 152 novel miRNAs in the CO and LTS libraries, respectively. We verify the expression of nine up-regulated miRNAs and eight down-regulation miRNAs by qRT-PCR, and found their expression patterns were consistent with the sequencing results. We found that cold stress may have produced dysregulation of free radical and lipid metabolism, decreased superoxide dismutase activity, reduced respiratory burst and phagocytic activity of macrophages, increased malondialdehyde content, and adversely affected the physiological adaptation of GIFT, eventually leading to death. This study revealed interactions among miRNAs and signal regulated pathways in GIFT under cold stress that may help to understand the pathways involved in cold resistance.