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Grafting is widely applied to enhance the tolerance of some vegetables to biotic and abiotic stress. Salicylic acid (SA) is known to be involved in grafting-induced chilling tolerance in cucumber. Here, we revealed that grafting with pumpkin (<i>Cucurbita moschata</i>, <i>Cm</i>) as a rootstock improved chilling tolerance and increased the accumulation of SA, abscisic acid (ABA) and hydrogen peroxide (H₂O₂) in grafted cucumber (<i>Cucumis sativus/Cucurbita moschata, Cs/Cm</i>) leaves. Exogenous SA improved the chilling tolerance and increased the accumulation of ABA and H₂O₂ and the mRNA abundances of <i>CBF1</i>, <i>COR47</i>, <i>NCED</i>, and <i>RBOH1</i>. However, 2-aminoindan-2-phosphonic acid (AIP) and L-a-aminooxy-b-phenylpropionic acid (AOPP) (biosynthesis inhibitors of SA) reduced grafting-induced chilling tolerance, as well as the synthesis of ABA and H₂O₂, in cucumber leaves. ABA significantly increased endogenous H₂O₂ production and the resistance to chilling stress, as proven by the lower electrolyte leakage (EL) and chilling injury index (CI). However, application of the ABA biosynthesis inhibitors sodium tungstate (Na₂WO₄) and fluridone (Flu) abolished grafting or SA-induced H₂O₂ accumulation and chilling tolerance. SA-induced plant response to chilling stress was also eliminated by N,N′-dimethylthiourea (DMTU, an H₂O₂ scavenger). In addition, ABA-induced chilling tolerance was attenuated by DMTU and diphenyleneiodonium (DPI, an H₂O₂ inhibitor) chloride, but AIP and AOPP had little effect on the ABA-induced mitigation of chilling stress. Na₂WO₄ and Flu diminished grafting- or SA-induced H₂O₂ biosynthesis, but DMTU and DPI did not affect ABA production induced by SA under chilling stress. These results suggest that SA participated in grafting-induced chilling tolerance by stimulating the biosynthesis of ABA and H₂O₂. H₂O₂, as a downstream signaler of ABA, mediates SA-induced chilling tolerance in grafted cucumber plants.