Halliday's and Hasan's studies of discourse cohesion show that it plays an important role in the construction of coherence and conciseness.Taking the American writer O. Henry's short story The Gift of Magi as an example, this paper analyzes the use of main cohesive devices such as reference, ellipsis, substitution, synonymy, antonym, hyponym and collocation in short stories, so as to achieve discourse logical coherence, master the effective way of short story text interpretation, and gain insight into the author's strategy of portraying characters and deepening themes.