Transcription factors play a central role in the gene regulatory networks that mediate various aspects of plant developmental processes and responses to environmental changes. Therefore, their activities are elaborately regulated at multiple steps. In particular, accumulating evidence illustrates that post-transcriptional control of mRNA metabolism is a key molecular scheme that modulates the transcription factor activities in plant responses to temperature fluctuations. Transcription factors have a modular structure consisting of distinct protein domains essential for DNA binding, dimerization, and transcriptional regulation. Alternative splicing produces multiple proteins having different structural domain compositions from a single transcription factor gene. Recent studies have shown that alternative splicing of some transcription factor genes generates small interfering peptides (siPEPs) that negatively regulate the target transcription factors via peptide interference (PEPi), constituting self-regulatory circuits in plant cold stress response. A number of splicing factors, which are involved in RNA binding, splice site selection, and spliceosome assembly, are also affected by temperature fluctuations, supporting the close association of alternative splicing of transcription factors with plant responses to low temperatures. In this review, we summarize recent progress on the temperature-responsive alternative splicing of transcription factors in plants with emphasis on the siPEP-mediated PEPi mechanism.