Low temperatures in nature occur together with desiccation conditions, causing changes in metabolic pathways and cellular dehydration, affecting hemolymph volume, water content and ion homeostasis. Although some research has been conducted on the effect of low temperature on Gromphadorhina coquereliana, showing that it can survive exposures to cold or even freezing, no one has studied the effect of cold on the hemolymph volume and the immune response of this cockroach. Here, we investigated the effect of low temperature (4 °C) on the abovementioned parameters, hemocyte morphology and total number. Cold stress affected hemocytes and the immune response, but not hemolymph volume. After stress, the number of circulating hemocytes decreased by 44.7%, but the ratio of apoptotic cells did not differ significantly between stressed and control individuals: 8.06% and 7.18%, respectively. The number of phagocyting hemocytes decreased by 16.66%, the hemocyte morphology drastically changed, and the F-actin cytoskeleton differed substantially in cold-stressed insects compared to control insects. Moreover, the surface area of the cells increased from 393.69 µm2 in the control to 458.38 µm2 in cold-treated animals. Together, our results show the links between cold stress and the cellular immune response, which probably results in the survival capability of this species.