The warning will come into place at 8pm tonight and will last until 10am on Thursday.
Snow is forecast to hit Edinburgh late tonight and in the early hours of tomorrow morning.
The Met Office said: “Snow and hail showers could lead to icy surfaces, with possible travel disruption”.
The weather service also warned that icy patches on untreated roads, pavements and cycle paths could lead to an increased chance of accidents or injuries.
The adverse weather is not expected to last long.
Sun is forecast for Friday and Saturday, and the Capital will see a gradual rise in temperature over the following days.
Until then, temperatures are expected to be half those reached last week, when Edinburgh residents basked in glorious sunshine and highs of nearly 20C.