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A high premium has been put on researching the effects of cold spells because of their adverse influence on people's daily lives and health. The study aimed to find the most appropriate definition of the cold spell in Shenzhen and quantify the impact of cold spells on mortality. Based on the daily mortality data in Shenzhen from 2013 to 2017 and the meteorological and pollutant data from the same period, we quantified the effect of cold spells using eight different definitions in the framework of a distributed lag non-linear model with a quasi-Poisson distribution. In Shenzhen, low temperatures increase the risk of death more significantly than high temperatures (using the optimal temperature as the cut-off value). Comparing the quasi-Akaike information criterion value, attribution fraction (b-AF), and attribution number (b-AN) for all causes of deaths and non-accidental deaths, the optimal definition of the cold spell was defined as the threshold was 3rd percentile of the daily average temperature and duration for 3 or more consecutive days (all causes: b-AF = 2.31% [1.01–3.50%], b-AN = 650; non-accidental: b-AF = 1.92% [0.57–3.17%], b-AN = 471). For cardiovascular deaths, the best definition was the temperature threshold as the 3rd percentile of the daily average temperature with a duration of 4 consecutive days (cardiovascular: b-AF = 1.37% [0.05–2.51%], b-AN = 142). Based on the best definition in the model, mortality risk increased in cold spells, with a statistically significant lag effect occurring as early as the 4th day and the effect of a single day lasting for 6 days. The maximum cumulative effect occurred on the 14th day (all-cause: RR = 1.54 [95% CI, 1.20–1.98]; non-accidental: RR = 1.43 [95% CI, 1.11–1.84]; cardiovascular: RR = 1.58 [95% CI, 1.00–2.48]). The elderly and females were more susceptible to cold spells. Cold spells and their definitions were associated with an increased risk of death. The findings of this research provide information for establishing an early warning system, developing preventive measures, and protecting susceptible populations.