Thioredoxins (TRXs) are ubiquitous oxidoreductases and present as a multigenic family. TRXs determine the thiol redox balance, which is crucial for plants in the response to cold stress. However, limited knowledge is available about the role of TRXs in watermelon (Citrullus lanatus), which is highly sensitive to chilling stress in agricultural practice. Here, we identified 18 genes encoding 14 typical and 4 atypical TRXs from the watermelon genome, and found that ClTRXh2 localized at the plasma membrane was largely induced by chilling. Virus-induced gene silencing of ClTRXh2 resulted in watermelon plants that were more sensitive to chilling stress. We further found that ClTRXh2 physically interacted with mitogen-activated protein kinase kinase 5 (ClMPKK5), which was confirmed to phosphorylate and activate ClMPK3 in vitro, and the activation of ClMPK3 by ClMPKK5 was blocked by a point mutation of the Cys-229 residue to Ser in ClMPKK5. Additionally, ClTRXh2 inhibited the chilling-induced activation of ClMPK3, suggesting that the ClMPKK5-ClMPK3 cascade is regulated in a redox-dependent manner. We showed that ClMPK3-silenced plants had increased tolerance to chilling, as well as enhanced transcript abundances of the C-repeat/DREB binding factor (ClCBF) and cold-responsive (ClCOR) genes. Taken together, our results indicate that redox status mediated by ClTRXh2 inhibits ClMPK3 phosphorylation through the interaction between ClTRXh2 and ClMPKK5, which subsequently regulates the CBF-COR signaling pathway when submitted to chilling stress. Hence, our results provide a link between thiol redox balance and MAPK cascade signaling, revealing a conceptual framework to understand how TRX regulates chilling stress tolerance in watermelon.