With the acceleration of urbanization, the urban heat island (UHI) effect has intensified. Urban green space can retard the UHI effect. However, most existing studies have only focused on hot regions, while little attention has been given to cold regions that also have summer heat protection requirements. Furthermore, existing researc has not classified urban green spaces according to the presence or absence of water, which can lead to inaccurate results. This paper takes four cities in cold regions of China as examples and studies the cooling effects of two different types of urban green space. The results indicate that in cold regions of China, green spaces containing water bodies have a stronger cooling effect than those without water. For green spaces without water, the cooling intensity is related to the background temperature and green space areas, while for green spaces containing water bodies, the area of the internal water body is the key influencing factor. Specifically, there is a threshold value of efficiency (TVoE) for the green space areas without water in cold region cities of China, which is approximately 0.52 ha, while there is no TVoE for the green space areas containing water bodies. Additionally, there is a TVoE for the water/land ratio of the green spaces containing water bodies of approximately 0.5. The methods and results of this study can provide a reference for future research and for urban planners and managers designing urban green spaces.