I’m on holiday in Ottawa, Canada, one of the coldest capital cities in the world. It’s sunny here and not snowing, but the temperature is staying under -5C (and well under -10C at night).
What makes it cold here? Well, the biggest reason is that it’s in the northern hemisphere, where it’s winter now. The Earth is tilted at an angle that means that right now the light from the Sun is hitting the northern hemisphere at an angle, not straight on. A lot of it reflects away rather than being absorbed and turned to heat. Ottawa is relatively far from the equator, so it doesn’t get much sun heat.
The other reason is that the shape of Canadian landscape and prevailing wind patterns mean Ottawa gets a direct funnel of cold arctic air. London, for instance, is much farther north but isn’t nearly as cold as Ottawa in winter because the former gets warm air carried by the warm current from the Gulf of Mexico.