Sensing a sudden change of the growth temperature, all living organisms produce heat shock proteins or cold shock proteins to adapt to a given temperature. In a heat shock response, the heat shock sigma factor plays a major role in the induction of heat shock proteins including molecular chaperones and proteases, which are well-conserved from bacteria to human. In contrast, no such a sigma factor has been identified for the cold shock response. Instead, RNAs and RNA-binding proteins play a major role in cold shock response. This review describes what happens in the cell upon cold shock, how E. coli responds to cold shock, how the expression of cold shock proteins is regulated, and what their functions are.