Oil palm (Elaeis guineensis) is the highest oil-yielding commercially grown perennial tree. Oil palm germplasm conservation and in vitro clonal propagation strengthened the world’s efforts to ensure future food security. Cryopreservation provides long-term storage for germplasm. The storage of plant material at cryogenic temperatures (−196 °C) following dehydration causes cryoinjury. The cryotolerance mechanism has rarely been studied in oil palm zygotic embryos (ZE) and embryogenic calli (EC). A simple and effective cryopreservation method was established for ZE. ZE surrounded by endosperm was air-dried for 3 days without any complicated chemical pre-treatments before cryopreservation, while the viability rate and following germination rate could reach up to 96.67% and 90.88%, respectively. As for EC, the preferred method could be pre-culture in liquid MS medium with 0.3 M sucrose for 12 h and PVS2 treatment for 5 min prior to cryopreservation, and the viability rate reached 68.33%. SSR markers were used to verify the genetic stability after cryopreservation. In addition, changes in enzyme activities (CAT, POD, and SOD) showed a consistent trend with H2O2 production among ZE samples, indicating that these antioxidants were involved in ROS scavenging. Furthermore, differently expressed genes (DEGs) related to ROS, osmotic, and cold stress responses were selected for correlation network analysis. Most genes involved in ROS production (RBOH, PAO, and PRX) and ROS scavenging (APX, PER, SOD, CAT, GPX, and AOX) showed higher expression levels in EC, suggesting that EC was more sensitive to oxidative stress than ZE. The cryotolerance mechanism was further summarized accordingly. These results contributed to cryopreservation methods and provided a better understanding of cryotolerance in oil palm.