Drosophila melanogaster is a cosmopolitan species that colonizes a great variety of environments. One trait that shows abundant evidence for naturally segregating genetic variance in different populations of D. melanogaster is cold tolerance. Previous work has found quantitative trait loci (QTL) exclusively on the second and the third chromosomes. To gain insight into the genetic architecture of cold tolerance on the X chromosome and to compare the results with our analyses of selective sweeps, a mapping population was derived from a cross between substitution lines that solely differed in the origin of their X chromosome: one originates from a European inbred line and the other one from an African inbred line. We found a total of six QTL for cold tolerance factors on the X chromosome of D. melanogaster. Although the composite interval mapping revealed slightly different QTL profiles between sexes, a coherent model suggests that most QTL overlapped between sexes, and each explained around 5–14% of the genetic variance (which may be slightly overestimated). The allelic effects were largely additive, but we also detected two significant interactions. Taken together, this provides evidence for multiple QTL that are spread along the entire X chromosome and whose effects range from low to intermediate. One detected transgressive QTL influences cold tolerance in different ways for the two sexes. While females benefit from the European allele increasing their cold tolerance, males tend to do better with the African allele. Finally, using selective sweep mapping, the candidate gene CG16700 for cold tolerance colocalizing with a QTL was identified.