Ephedra sinica has a long history in medicine, i.e., as the first medicinal plant for treating wind-chill colds. However, few studies have shown its material basis and mechanism of action, so this article mainly focuses on these two issues. Rats were stimulated by fan blowing and low temperature for 7 days, following which alkaloid extract (SWJ), non-alkaloid extract (FSWJ), and polysaccharide extract (DT) from Ephedra sinica (MH) were administered for 4 days. First, the body temperature, sweat spots, activity status, and cough-related indexes were detected to screen the pharmacodynamic material basis of MH. Then, the immune cells, ROS, MDA, GSH-PX, SOD, IL-4, IgE, TRPM8, TLR4, p-P65/P65, acetylcholine, and CHRM3 levels were detected to explore the potential mechanism of the SWJ. In addition, BEAS-2B cells were cultured at 26 °C for 12 h to establish a cell injury model induced by cold stimulation. BEAS-2B cells were co-cultured with spleen cells, and the effects of ephedrine (MHJ) and pseudoephedrine (WMHJ) on immune cells and inflammatory factors in this system were detected. The TRPM8 inhibitor (AMG-333) was added 3 h before administration to detect the effects of MHJ and WMHJ on the expression levels of TRPM8, TLR4, and P-P65/P65. Animal experiments showed that SWJ, FSWJ, and DT reduced body temperature and relieved symptoms such as sweating difficulty, listlessness, and cough, and SWJ produced the best effect. Subsequently, it was found that SWJ transformed immune cells, weakened oxidative stress, downregulated IL-4, IgE, TRPM8, TLR4, and P-P65/P65, and upregulated ACH and CHRM3. Cell experiments showed that MHJ and WMHJ upregulated the Ths and Tcs and downregulated IL-6, TNF-α, TRPM8, TLR4, and P-P65/P65. The intervention of AMG-333 affected the TRPM8 and p-P65/P65, but AMG-333 did not regulate TLR4. Taken together, alkaloid extract is the material basis for MH to improve rats' wind-chill cold and may protect rats from injury by regulating the TRPM8/TLR4-NFκB pathway and CHRM3, with ephedrine and pseudoephedrine possibly playing an important role.