To promote the safe and widespread application of steel-concrete composite structures in cold and high-altitude regions, and to solve the problem of unclear tensile pull-out performance of stud connectors in steel-concrete composite structures under low-temperature conditions, an investigation was conducted in which 54 material tests were performed at both normal and low temperatures on high-performance concrete (HPC) and ultra-high performance concrete (UHPC), demonstrating the change rules of their basic mechanical properties. Subsequently, a loading and insulation fixture designed for stud pull-out assessments under low-temperature conditions was independently employed, and low-temperature pull-out tests were executed on 8 sets of stud specimens. The study investigated the effects of different temperatures (20 °C, −20 °C, −40 °C, −60 °C), effective embedment depths of studs (40 mm, 60 mm, 80 mm), and concrete types (HPC, UHPC) on the failure modes and pull-out capacity of stud shear connectors. Based on the experimental results, the enhancement mechanism of stud connectors in low-temperature environments was analyzed, and a modified formula for the pull-out capacity of stud connectors under low-temperature conditions was proposed. The tests revealed that the compressive and tensile strengths of both HPC and UHPC were improved with the decreasing temperature, with HPC demonstrating a greater enhancement. Within the temperature range from −60 °C to +20 °C, two types of failure modes were observed in stud pull-out specimens: concrete failure (characterized by splitting failure, cone failure, or a combined failure) and stud failure. The cone failure angles for HPC and UHPC were in the ranges of 30–35°and 22–30°, respectively. Notably, as temperature decreased and embedment depth of studs increased, the failure mode of the stud connectors transitioned from concrete failure to stud failure, accompanied by concurrent increase in tensile capacity and peak displacement of the connectors. Based on the modified formula for the ultimate tensile capacity in low-temperature conditions derived from the Visual Assessment Criteria (VAC) model, the standard deviation between calculated values and experimental observations was 0.15, indicating a favorable prediction efficacy.