Young cotyledons of cotton seedlings are most susceptible to chilling stress. To gain insight into the potential mechanism of cold tolerance of young cotton cotyledons, we conducted physiological and comparative transcriptome analysis of two varieties with contrasting phenotypes. The evaluation of chilling injury of young cotyledons among 74 cotton varieties revealed that H559 was the most tolerant and YM21 was the most sensitive. The physiological analysis found that the ROS scavenging ability was lower, and cell membrane damage was more severe in the cotyledons of YM21 than that of H559 under chilling stress. RNA-seq analysis identified a total of 44,998 expressed genes and 19,982 differentially expressed genes (DEGs) in young cotyledons of the two varieties under chilling stress. Weighted gene coexpression network analysis (WGCNA) of all DEGs revealed four significant modules with close correlation with specific samples. The GO-term enrichment analysis found that lots of genes in H559-specific modules were involved in plant resistance to abiotic stress. Kyoto Encyclopedia of Genes and Genomes (KEGG) pathway analysis revealed that pathways such as plant hormone signal transduction, MAPK signaling, and plant-pathogen interaction were related to chilling stress response. A total of 574 transcription factors and 936 hub genes in these modules were identified. Twenty hub genes were selected for qRT-PCR verification, revealing the reliability and accuracy of transcriptome data. These findings will lay a foundation for future research on the molecular mechanism of cold tolerance in cotyledons of cotton.