I have a wool crepe 1940s dress, calf length with long puff sleeves, a high round neck and if I remember correctly it is lined in cotton. It is exceedingly warm. You have to remember women tended to wear more underlayers than we do today, which helps with the cold. Think long line bras, slips and tights were practically compulsory.
I also have a brushed cotton, or flannel, belted 1950s shirt dress which again is one of my winter staples. You don't get them today but you can get flannel material and suitable vintage patterns for it.
They did have fleece and a lot of 100% wool knitwear in the 40s/50s.
Footwear wise - boots were sheepskin/wool fleece lined for winter and often taller than modern comparatives - designed to keep the wind and snow out. They could have thick crepe soles, which are good insulators. I work on a market outside every week and I can appreciate a thick soled boot or shoe can make the difference between being warm or cold for a day, as the temperature of the ground soaks through.