Grafting with pumpkin as rootstock could improve chilling tolerance of cucumber; however, the underlying mechanism of grafting-induced chilling tolerance remains unclear. Here, we analyzed the difference of physiological and transcriptional level between own-rooted (Cs/Cs) and hetero-grafted (Cs/Cm) cucumber seedlings under chilling stress. The results showed that grafting with pumpkin significantly alleviated the chilling injury as evidenced by slightly symptoms, lower contents of electrolyte leakage (EL), malondialdehyde (MDA), hydrogen peroxide (H2O2), and superoxide anion (O2-) and higher relative water content in Cs/Cm seedlings compared with Cs/Cs seedlings under chilling stress. RNA-seq data showed that grafting induced more DGEs at 8 °C/5 °C compared with 25 °C/18 °C. In accordance with the increase of the activities of antioxidant enzymes (SOD, POD, CAT, APX), grafting upregulated the expression of the regulated redox-related genes such as GST, SOD, and APX. Moreover, grafting increased the expression of genes participated in central carbon metabolism to promote the conversion and decomposition of sugar, which provided more energy for the growth of Cs/Cm seedlings under chilling stress. In addition, grafting regulated the genes involved in the intracellular signal transduction pathways such as calcium signal (CAML, CML, and CDPK) and inositol phospholipid signal (PLC), as well as changed the gene expression of plant hormone signal transduction pathways (ARF, GAI, ABF, and PYR/PYL). These results provide a physiological and transcriptional basis for the molecular mechanism of grafting-induced chilling tolerance of cucumber seedlings.