Free-piston engine generator is a novel energy conversion system, which is known to have advantages of variable compression ratio and variable fuel. The free-piston must be controlled to overcome challenges like misfire, after-combustion, and other abnormal combustion in the starting process, as well as to prevent the piston from colliding with the cylinder head. This article proposes a control strategy based on the combustion state for the cold start-up process of single-cylinder two-stroke free-piston engine generator. The combustion state is judged based on in-cylinder pressure at the early beginning of expansion stroke, and the duration and direction of coil current are adjusted to ensure the aimed bottom turning center of the stroke. A control-oriented model including the cold start-up combustion model of the prototype is presented, and the control strategy is verified by the experiment of the prototype. The results show that the free-piston engine generator can start successfully and overcome abnormal combustion during the cold start-up process.