Adding this style should work:
li.active .collapsible-header{
background-color:red;
color:white;//este es solo para mi ejemplo
}
I leave you a functional example:
EDIT
If you want to keep the classes you had already assigned, this could work:
li.active .collapsible-header{
background-color:red!important;
color:white;//este es solo para mi ejemplo
}
$(document).ready(function(){
$('.collapsible').collapsible();
});
li.active .collapsible-header{
background-color:red!important;
color:white;
}
<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.1/jquery.min.js"></script>
<link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/materialize/1.0.0-beta/css/materialize.min.css">
<script src="https://cdnjs.cloudflare.com/ajax/libs/materialize/1.0.0-beta/js/materialize.min.js"></script>
<ul class="collapsible collapsible-accordion">
<li class="active">
<div class="collapsible-header blue-grey darken-1" tabindex="0"><i class="material-icons">filter_drama</i></div>
<div class="collapsible-body" style="display: block;"><span>Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat. Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat. Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat.</span></div>
</li>
<li>
<div class="collapsible-header blue-grey darken-1" tabindex="0"><i class="material-icons">place</i></div>
<div class="collapsible-body"><span>Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat.</span></div>
</li>
<li>
<div class="collapsible-header blue-grey darken-1" tabindex="0"><i class="material-icons">whatshot</i></div>
<div class="collapsible-body"><span>Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat.</span></div>
</li>
</ul>