Background Cold is a major abiotic stress limiting the production of tropical and subtropical crops in new production areas. Sugarcane (Saccharum spp.) originates from the tropics but is cultivated primarily in the sub-tropics where it frequently encounters cold stress. Besides regulating plant growth, miRNAs play an important role in environmental adaption. Results In this study, a total of 412 sugarcane miRNAs, including 261 known and 151 novel miRNAs, were obtained from 4 small RNA libraries through the Illumina sequencing method. Among them, 62 exhibited significant differential expression under cold stress, with 34 being upregulated and 28 being downregulated. The expression of 13 miRNAs and 12 corresponding targets was validated by RT-qPCR, with the majority being consistent with the sequencing data. GO and KEGG analysis indicated that these miRNAs were involved in stress-related biological pathways. To further investigate the involvement of these miRNAs in tolerance to abiotic stresses, sugarcane miR156 was selected for functional analysis. RT-qPCR revealed that miR156 levels increased in sugarcane during cold, salt and drought stress treatments. Nicotiana benthamiana plants transiently overexpressing miR156 exhibited better growth status, lower ROS levels, higher anthocyanin contents as well as the induction of some cold-responsive genes, suggesting its positive role in the plant cold stress response. Conclusions This study provides a global view of the association of miRNA expression with the sugarcane response to cold stress. The findings have enriched the present miRNA resource and have made an attempt to verify the involvement of miR156 in plant response to cold stress. Electronic supplementary material The online version of this article (10.1186/s12864-017-4231-3) contains supplementary material, which is available to authorized users.