Plant apoplast plays an important role in sensing external signals and stress responses. In this study, we used physiological and biochemical, and proteomic methods to analyze the physical and chemical indexes, microstructure, and protein changes in the apoplast fluid of Euonymus japonicus leaves in autumn and winter, and to explore the molecular mechanism of the response in the apoplast fluid of E. japonicus leaves to freezing stress, to provide a basis for the study of plant antifreeze molecular mechanism. The results showed that: (1) the contents of MDA and soluble sugar in the leaves of E. japonicus in winter increased significantly, the activities of SOD and POD increased significantly, the stomatal conductance decreased, and the leaf thickness decreased. (2) The types and contents of proteins in the apoplast fluid of E. japonicus leaves in winter were significantly higher than those in autumn. (3) A total of 838 peptides and 194 proteins were identified in the apoplast fluid of E. japonicus leaves. Compared with autumn, a total of 43 differentially accumulated proteins (DAPs) were screened in the apoplast fluid of E. japonicus leaves in winter, among which 26 DAPs were significantly up-regulated and 17 DAPs were significantly down-regulated. The analysis of protein expression patterns showed that the late embryogenesis abundant (LEA) protein, iron superoxide dismutase (Fe-SOD), peroxidase, and serine carboxypeptidase were highly expressed in winter, suggesting that they may be sensitive to a winter stress response. (4) KEGG enrichment analysis showed that DAPs were mainly related to biological processes such as stress defense, cell wall modification, disease resistance, free radical scavenging, glycerol lipid metabolism, starch and sucrose metabolism, and biosynthesis of secondary metabolites. (5) The results of verification experiments showed that the expression trends of 8 DAPs were consistent with those of their corresponding genes in winter. It was speculated that the proteins accumulated in the apoplast fluid of E. japonicus leaves in winter could enhance the adaptation to the environment by scavenging reactive oxygen species and promoting the production of osmotic regulators such as monosaccharides, oligosaccharides, and free amino acids, and the accumulation of monosaccharides and oligosaccharides in the apoplast may reduce the freezing point by increasing the concentration of apoplast fluid, thereby improving the tolerance of E. japonicus to winter stress.