Cold dark matter (DM) may form dense structures around supermassive black holes (SMBHs), significantly influencing their local environments. These dense regions are ideal sites for the formation of extreme mass-ratio inspirals (EMRIs), in which stellar-mass compact objects gradually spiral into SMBH, emitting gravitational waves (GWs). Space-based gravitational-wave (GW) observatories such as LISA and Taiji will be sensitive to these signals, including early-stage EMRIs (E-EMRIs) that persist in the low-frequency band for extended periods. Here we investigate the impact of DM-induced dynamical friction on E-EMRIs in the Milky Way Center, model its effect on the trajectory, and calculate the resulting GW spectrum. Our analysis suggests that this influence might be sizable and lead to detectable deviations in the spectrum when DM density is very high. We find that cold DM does not alter the event rate of EMRIs at formation but decreases the number of E-EMRIs during later evolution and circularizes their orbits for high initial eccentricity. Consequently, this would cause suppression of the GW spectrum at low frequencies and enhancement at high frequencies, therefore potential observable by future GW detectors in space.