This study collected data through microclimate monitoring, surface temperature measurements, and questionnaire surveys, and used indicators, such as the universal thermal climate index (UTCI), surface temperature (Ts), and wind chill temperature (tWC), to determine the thermal comfort threshold of the elderly in severely cold climates and evaluate their cold stress. The results indicated that (1) the neutral UTCI (NUTCI) for elderly individuals in winter was 13.3 °C, and the NUTCI range was from 1.4 to 25.2 °C; (2) the intensity of elderly individuals’ physical activity affected the magnitude of risk of whole-body cooling, with duration-limited exposures corresponding to 0.5, 3.3, and over 8 h for light, moderate, and vigorous activity levels, respectively; (3) the tWC in all four spaces was below −10 °C, potentially inducing discomfort or even frostbite in the elderly; (4) for a 10 s touch, the maximum Ts (−17.2 °C) of stone was lower than the numbness threshold (−15.0 °C), while that (−15.1 °C) of steel materials remained below the frostbite threshold (−13 °C), posing risks for the elderly during physical activity. This study’s results will provide valuable insights and theoretical references for the landscape design of urban park activity spaces for elderly individuals in cold climate regions.