Okra (Abelmoschus esculentus L.) is a tropical crop species, and its growth and development are severely affected by cold stress. Recent studies have identified a potential association between WRKY transcription factors and the cold response mechanism of crops. In this study, the AeWRKY32 transcription factor that encodes 482 amino acids was amplified from A. esculentus, and its expression level was found to be the highest in the okra flower. AeWRKY32 localized to the nucleus and displayed transcriptional activation capability. Under normal conditions, overexpression of AeWRKY32 induced anthocyanin accumulation, with higher expression levels of AtCHS1, AtCHI4, AtF3H1, and AtDFR2 in transgenic Arabidopsis. Under cold stress, anthocyanin levels were further elevated in transgenic Arabidopsis plants. At the same time, AeWRKY32 overexpression promoted ABA biosynthesis, inhibited H2O2 and O2− generation, induced stomatal closure, reduced electrolyte leakage, and thus improved the cold resistance of transgenic Arabidopsis. Furthermore, under cold stress, the expression profiles of AtCOR413, AtCOR15B, AtCBF1, and AtCBF2 were upregulated in transgenic Arabidopsis. Overall, our study provides evidence that AeWRKY32 serves as a crucial regulator in both anthocyanin accumulation and cold tolerance of transgenic Arabidopsis. Our findings could provide insights into the molecular mechanism linking AeWRKYs to plant cold tolerance.