In this paper, based on the data from seven representative weather stations in Altay Prefecture from 1961 to 2012, the daily minimum air temperature data were studied by using trend coefficient, Morlet wavelet transformation and correlation analysis. Thus, the variation of cold wave was analyzed. It is found that the cold wave frequency was about two times of the number of strong cold wave. The monthly variation of cold waves had a unimodal type, concentrating in between November and the next February, but less occurring in between September and May. In the last 52 years, the numbers of cold wave and strong cold wave have decreased slightly. The anomaly series of cold wave shows multi-time scale structure and appears decadal variation. Correlation analysis demonstrates that there is significant correlation between cold wave duration and the characteristic quantity of atmospheric circulation in Altay Prefecture.