The purpose of this paper is to define an α-type cohomology, which we call α-type Chevalley–Eilenberg cohomology, for Hom-Lie algebras. We relate it to the known Chevalley–Eilenberg cohomology and provide explicit computations for some examples. Moreover, using this cohomology, we study formal deformations of Hom-Lie algebras, where the bracket as well as the structure map α are deformed. Furthermore, we provide a generalization of the grand crochet and study, in a particular case, the α-type cohomology for Hom-Lie bialgebras.