Animals living at high altitudes are challenged by the extreme environmental conditions of cold temperature and hypobaric hypoxia. It is not well understood how high-altitude birds enhance the capacity of metabolic thermogenesis and allocate metabolic capacity in different organs to maximize survival in extreme conditions of a cold winter. The Qinghai-Tibet Plateau (QTP) is the largest and highest plateau globally, offering a natural laboratory for investigating coping mechanisms of organisms inhabiting extreme environments. To understand the adaptive strategies in the morphology and physiology of small songbirds on the QTP, we compared plasma triiodothyronine (T), pectoralis muscle mitochondrial cytochrome c oxidase (COX) and state IV capacities, the expression of peroxisome proliferator-activated receptor γ coactivator α (PGC-1α), adenine nucleotide translocase (ANT), uncoupling protein (UCP), and adenosine monophosphate-dependent kinase (AMPK) α1 mRNA in the pectoralis and liver of Eurasian tree sparrows (Passer montanus) from high-altitude (3,230 m), medium-altitude (1400 m), and low-altitude (80 m) regions. Our results showed that high-altitude sparrows had greater body masses, longer wings and tarsometatarsi, but comparable bill lengths relative to medium- and low-altitude individuals. High-altitude sparrows had higher plasma T levels and pectoralis muscle mitochondrial COX capacities than their lowland counterparts. They also upregulated the pectoralis muscle mRNA expression of UCP, PGC-1α, and ANT proteins relative to low-altitude sparrows. Unlike pectoralis, high-altitude sparrows significantly down-regulated hepatic AMPKα1 and ANT protein expression as compared with their lowland counterparts. Our results contribute to understanding the morphological, biochemical, and molecular adaptations in free-living birds to cope with the cold seasons in the extreme environment of the QTP.