Anoplophora glabripennis (Agla) is an important global quarantine pest due to its highly destructive impacts on forests. It is widely distributed in many countries in Asia, Europe, and North America. The survival of A. glabripennis larvae has been facilitated by its high adaptability to low temperature. When insects are subjected to temperature stress, heat shock proteins (Hsps) limit cell damage and improve cell tolerance via their protein folding, localization, and degradation activities. However, the temperature adaptation mechanisms of A. glabripennis Hsps remain unclear. In this study, four A. glabripennis Hsp genes, AglaHsp20.43, AglaHsp71.18, AglaHsp82.09, and AglaHsp89.76, were cloned. Sequence analysis showed that all four Hsps had specific conserved domains. Phylogenetic analysis revealed that Hsps from different subfamilies were evolutionarily conserved, and that AglaHsps were highly similar to those of Coleoptera species. Protein expression vectors (pET30a-AglaHsps) were constructed and used to express AglaHsps in E. coli, where all four proteins were expressed in inclusion bodies. Western blot analysis showed that AglaHsps were expressed at a range of temperatures, from −10 °C to 25 °C. AglaHsp82.09 and AglaHsp89.76 showed high expressions with treatment at 0 °C. Our results will facilitate clarification of the molecular mechanisms underlying A. glabripennis responses to environmental stress.