Rhodiola crenulata, a plant of great medicinal value found in cold high-altitude regions, has been excessively exploited due to the difficulty in cultivation. Understanding Rhodiola crenulata's adaptation mechanisms to cold environment can provide a theoretical basis for artificial breeding. Glutathione peroxidases (GPXs), critical enzymes found in plants, play essential roles in antioxidant defense through the ascorbate–glutathione cycle. However, it is unknown whether GPX5 contributes to Rhodiola crenulata's cold tolerance. In this study, we investigated the role of GPX5 in Rhodiola crenulata's cold tolerance mechanisms. By overexpressing Rhodiola crenulata GPX5 (RcGPX5) in yeast and Arabidopsis thaliana, we observed down-regulation of Arabidopsis thaliana GPX5 (AtGPX5) and increased cold tolerance in both organisms. Furthermore, the levels of antioxidants and enzyme activities in the ascorbate–glutathione cycle were elevated, and cold-responsive genes such as AtCBFs and AtCORs were induced. Additionally, RcGPX5 overexpressing lines showed insensitivity to exogenous abscisic acid (ABA), suggesting a negative regulation of the ABA pathway by RcGPX5. RcGPX5 also promoted the expression of several thioredoxin genes in Arabidopsis and interacted with two endogenous genes of Rhodiola crenulata, RcTrx2-3 and RcTrxo1, located in mitochondria and chloroplasts. These findings suggest a significantly different model in Rhodiola crenulata compared to Arabidopsis thaliana, highlighting a complex network involving the function of RcGPX5. Moreover, overexpressing RcGPX5 in Rhodiola crenulata hairy roots positively influenced the salidroside synthesis pathway, enhancing its pharmaceutical value for doxorubicin-induced cardiotoxicity. These results suggested that RcGPX5 might be a key component for Rhodiola crenulata to adapt to cold stress and overexpressing RcGPX5 could enhance the pharmaceutical value of the hairy roots.