Check to see what trouble codes have been set and post them.

How long since you changed the transmission fluid?  Check the fluid
level - remember that the full-hot level means hot, not just a little
warm.

oldron proclaimed:

  Pull the diag codes.  And note which particular subset of 1995 ZJ
  you have complete with 4wd modes so the transmission can be
  identified.  May want to post in the jeep geek group,
  r.a.m.jeep+willys with the more detailed question.  And define "cold"
  as some shifts are inhibited at really low temps.

  Also note whether this applies to all downshifts or just a set such
  as 4-3, 3-2, or 3-1.  Any shuddering on cold downshifts, any signs of
  slippage in any particular set of gears, particularly if not in all
  of them.

  Could be as simple as a bad temp sensor, hydraulic overpressure, wrong
  fluid, overfill/underfill.  Or worse, a TCM, etc.

  The full diagnosis is usually a scan tool and making several pressure
  checks after a full road test.  A teardown is specifically not
  recommended in the factory service manual until all of these far
  cheaper tests have been done.  And stay away from AAMCO.