Adapting to stress, including cold environmental temperature (eT), is crucial for the survival of mammals, especially small rodents. Long-lived mutant mice have enhanced stress resistance against oxidative and non-oxidative challenges. However, much less is known about the response of those long-lived mice to cold stress. Growth hormone receptor knockout (GHR-KO) mice are long-lived with reduced growth hormone signaling. We wanted to test whether GHR-KO mice have enhanced resistance to cold stress. To examine the response of GHR-KO mice to cold eT, GHR-KO mice were housed at mild cold eT (16 °C) immediately following weaning. Longevity results showed that female GHR-KO and wild-type (WT) mice retained similar lifespan, while both male GHR-KO and WT mice had shortened lifespan compared to the mice housed at 23 °C eT. Female GHR-KO and WT mice housed at 16 °C had upregulated fibroblast growth factor 21 (FGF21), enhanced energy metabolism, reduced plasma triglycerides, and increased mRNA expression of some xenobiotic enzymes compared to females housed at 23 °C and male GHR-KO and WT mice housed under the same condition. In contrast, male GHR-KO and WT mice housed at 16 °C showed deleterious effects in parameters which might be associated with their shortened longevity compared to male GHR-KO and WT mice housed at 23 °C. Together, this study suggests that in response to mild cold stress, sex plays a pivotal role in the regulation of longevity, and female GHR-KO and WT mice are more resistant to this challenge than the males.