In order to reduce the risk of early freezing damage to cement-based materials in winter construction, lime powder was used to improve the properties of the Portland cement–sulphoaluminate cement (PC–CSA) composite system at low temperatures. In this study, the effects of lime powder dosage on the properties of a PC–CSA blended system with two proportions (PC:CSA = 9:1 and 7:3) at −10 °C were investigated, and the mechanisms of improvement were revealed. The results showed that the compressive strength of the PC–CSA composite system was effectively improved, and the setting time was shortened by the addition of lime powder. Lime powder could effectively act as an early heating source in the PC–CSA composite system, as the maximum temperature of samples exposed to sub-zero temperatures was increased and the time before dropping to 0 °C was prolonged by the addition of lime powder. The extra CH generated by the hydration of lime powder provided an added hydration path for C4A3S¯, which accelerated the formation of AFt at each stage. Frozen water as well as the early frost damage were effectively decreased by lime powder because of the faster consumption of free water at an early stage. The modification of the hydration products also contributed to the denseness of the microstructure.