Allocapnia pygmaea Burmeister (Plecoptera: Capniidae) is a winter-active stonefly in North America. Despite the adult’s winter emergence, little is documented about the insect’s cold tolerance and cryoprotective biochemistry. To better understand the cold tolerance of this winter-active stonefly, we collected adult A. pygmaea in Antigonish, Nova Scotia, Canada, during March or April in both 2023 and 2024. Following different cold exposures, we measured the lower limits of activity (–9.3 °C) and the temperature at which internal freezing occurs (–11.9 °C), and we confirmed that A. pygmaea could survive subzero temperatures unless they froze. In control (field-collected) and cold-shocked stoneflies, we assayed the following putative cryoprotectants: proline, glycerol, myo-inositol, trehalose, and glucose. We detected little effect of cold shock on most cryoprotectants, except for the polyols glycerol and myo-inositol, which decreased in concentration following cold shock. These findings improve our current understanding of Capniid cold tolerance, confirm that A. pygmaea uses a freeze-avoidant strategy, and lay a foundation for future studies on how these insects may use cryoprotectants for winter activity.