Cold stimulation of Bailinggu’s mycelia is the main factor that triggers primordia initiation for successful production of fruiting bodies under commercial cultivation. Yet, the molecular-level mechanisms involved in mycelia response to cold stimulation are still unclear. Here, we performed comparative transcriptomic analysis using RNA-Seq technology to better understand the gene expression regulation during different temporal stages of cold stimulation in Bailinggu. A total of 21,558 Bailinggu mycelia unigenes were de novo assembled and annotated from four libraries (control at 25 °C, plus cold stimulation treatments at −3 °C for a duration of 1–2 days, 5–6 days, and 9–10 days). GO and KEGG pathway analysis indicated that functional groups of differentially expressed unigenes associated with cell wall and membrane stabilization, calcium signaling and mitogen-activated protein kinases (MAPK) pathways, and soluble sugars and protein biosynthesis and metabolism pathways play a vital role in Bailinggu’s response to cold stimulation. Six hundred and seven potential EST-based SSRs loci were identified in these unigenes, and 100 EST-SSR primers were randomly selected for validation. The overall polymorphism rate was 92% by using 10 wild strains of Bailinggu. Therefore, these results can serve as a valuable resource for a better understanding of the molecular mechanisms associated with Bailinggu’s response to cold stimulation.