About 12 years ago, I moved from Britain to Finland, just in time for one of the coldest Februaries on record for Helsinki. Most days were -20°C, with some at -25°C, once the moderating influence of the nearby Baltic Sea was removed by it freezing over (which it does most years). Finnish offices and homes are fantastically well insulated and heated, but I still had to go outside to travel between them, to shop, and to explore the city.
I had, however, planned ahead sufficiently to bring appropriate winter clothing - not quite of Arctic standard, but much warmer than you'd normally wear in Britain (unless hiking in the Highlands during winter, perhaps). That meant a fleece jacket under a weatherproof one, long-johns under my trousers, double socks and gloves, and a turtleneck scarf which overlapped a woolly hat over my ears. I already habitually wore soft, waterproof hiking boots, and continued to do so.
Conversely, my employer entertained visitors from a customer - who also happened to be from Britain - that month, and they were much less well prepared. They wore standard urban winter clothing for the southern half of England, which has a considerably milder climate than Helsinki. That meant a weatherproof jacket, a woolly hat, and a pair of gloves - that's all.
My employer ended up having to guide them to a local clothing shop to supplement their equipment, since they were absolutely miserable every time we went outside, despite their hotel being only a few hundred yards away. Meanwhile, I was entirely comfortable in my slightly-overkill choice of clothing, even though it was fully 15-20 degrees colder than weather I'd previously considered "wintry", and I'd had less than a month to acclimatise.
By contrast, on the few occasions when I've visited a warm country, I've found myself overheating very easily, despite wearing as little as I felt was compatible with modesty and avoiding sunburn. For that reason among others, I don't go south for my holidays.
So my advice is: it's easier to adapt to a cold climate than a hot one. If you feel cold, just put on more clothes!