A new lipid-accumulating and cold-adapted oleaginous yeast consortium MG-Y-SH which stands for molecularly identified species Meyerozyma guilliermondii, Yarrowia sp. and Sterigmatomyces halophilus was successfully constructed in this study. Its total saturated fatty acid content (34.64 ± 0.95%) was higher than that of jatropha oil (21.52%). The oil obtained from oleaginous yeast consortium MG-Y-SH is advantageous for biodiesel production, since it contains low amount (21.48 ± 1.1%) of polyunsaturated fatty acids (C18:2 and C18:3). Lipase, which is a biocatalyst for the production of biodiesel by oleaginous yeasts, reached its highest specific activity of 8.35 ± 0.14 U/mg (extracellular) and 7.901 ± 0.12 U/mg (intracellular) after 36 h of incubation compared to the individual strains. Seven dye mixtures, six dyes in each group, were constructed and the maximum decolorization efficiency ranged between 55.81% (mixture III) and 80.56% (mixture VI) within 24 h of treatment with MG-Y-SH at 18 °C and under static conditions. The maximum decolorization efficiency by MG-Y-SH reached 100% at 100 mg/L Reactive Red 120 (RR120) within 3 h. Based on our investigation and analysis on those metabolites drawn from the mass spectrum as well as various induced enzymes, a possible dye biodegradation pathway linked to fatty acid synthesis was proposed. The results of phytotoxicity indicate a capability of MG-Y-SH in converting the toxic azo dye RR120 into some non-toxic metabolites, suggesting MG-Y-SH as a promising multipurpose oleaginous yeast consortium suitable for biodiesel production in the future, while degrading recalcitrant dyes and lignin valorization in cold environments.