Low temperature causes injuries to buds during winter and to young shoots during early spring, thereby affecting grapevine quality and yield. Understanding the regulatory mechanisms of cold stress responses is essential for the breeding of new grapevine cultivars with excellent cold tolerance. Previous studies indicated that WRKY family genes are induced by low temperature in grapevine, but their function in cold stress responses was not clear. Here, a cold-induced WRKY gene, named VaWRKY12, was cloned from Vitis amurensis, which displays remarkable cold tolerance. An atypical transmembrane (TM) region was found in its C-terminal region. Transient expression assays showed that VaWRKY12 was localized in the nucleus and cytoplasm at normal temperature but only in the nucleus after cold treatment. By contrast, a truncated version of VaWRKY12 without the TM region was found specifically in the nucleus at normal temperature, and its binding activity to tandem W-box elements in yeast was stronger than that of VaWRKY12, indicating that the TM region might affect the location and function of VaWRKY12. Overexpression of VaWRKY12 enhanced the cold tolerance of transformed Arabidopsis and grapevine calli. Transcriptome data revealed that the expression of genes encoding antioxidant enzymes, including peroxidases and glutathione S-transferases, was upregulated after cold treatment in VaWRKY12-overexpressing grapevine calli compared to the control calli. This study identifies candidate target genes as a basis for further studies on the roles of VaWRKY12 in cold stress responses in grapevine.