Cadmium (Cd) displays strong toxicity, high mobility, and cannot be degraded, which poses a serious threat to the environment. Cenococcum geophilum (C. geophilum) is one of the most common ectomycorrhizal fungi (ECMF) in the natural environment. In this study, three Cd sensitive and three Cd tolerant strains of C. geophilum were used to analyze the physiological and molecular responses to Cd exposure. The results showed that Cd inhibited the growth of all strains of C. geophilum but had a less toxic effect on the tolerant strains, which may be correlated to a lower content of Cd and higher activity of antioxidant enzymes in the mycelia of tolerant strains. Comparative transcriptomic analysis was used to identify differentially expressed genes (DEGs) of four selected C. geophilum strains after 2 mg/L Cd treatment. The results showed that the defense response of C. geophilum strain to Cd may be closely related to the differential expression of functional genes involved in cell membrane ion transport, macromolecular compound metabolism, and redox pathways. The results were further confirmed by RT-qPCR analysis. Collectively, this study provides useful information for elucidation of the Cd tolerance mechanism of ECMF.