Cold stress is one of the most important environmental factors affecting crop growth and agricultural production. Induced changes of gene expression and metabolism are critical for plants responding and acclimating to cold stress. Banana (Musa sp.) is one of the most important food crops in the tropical and subtropical countries of the world. Banana, which originated from tropical regions, is sensitive to cold, which can result in serious losses in commercial banana production. To investigate the response of the banana to cold stress conditions, changes in protein expression were analyzed using a comparative proteomics approach. ‘Brazil’ banana (Musa acuminata AAA group) is a common banana cultivar in southern China. ‘Brazil’ banana plantlets were exposed to 5 °C for 24 hours and then total crude protein was extracted from treatment and control leaves by phenol extraction, separated with two-dimensional gel electrophoresis, and subsequently identified by mass spectrometry (MS). Out of the more than 400 protein spots reproducibly detected, only 41 protein spots exhibited a change in intensity by at least 2-fold, with 26 proteins increasing and 15 proteins decreasing expression. Of these, 28 differentially expressed proteins were identified by MS. The identified proteins, including well-known and novel cold-responsive proteins, are involved in several cellular processes, including antioxidation and antipathogen, photosynthesis, chaperones, protein synthesis, signal transduction, energy metabolism, and other cellular functions. Proteins related to antioxidation, pathogen resistance, molecular chaperones, and energy metabolism were up-regulated, and proteins related to ethylene synthesis, protein synthesis, and epigenetic modification were down-regulated in response to cold temperature treatment. The banana plantlets incubated at cold temperatures demonstrated major changes in increased reactive oxygen species (ROS) scavenging, defense against diseases, and energy supply. Increased antioxidation capability in banana was also discovered in plantain, which has greater cold tolerance than banana in response to cold stress conditions. Therefore, we hypothesized that an increased antioxidation ability could be a common characteristic of banana and plantain in response to cold stress conditions. These findings may provide a better understanding of the physiological processes of banana in response to cold stress conditions.