As major attractions for host cities, mega‐event venues have the potential to generate revenue and attract new events, create job and business opportunities, and drive urban innovation and transformation. However, they are often criticized for being unsustainable due to high resource and energy consumption, potential environmental pollution, large construction and operating costs, and insufficient usage post‐event. Winter Olympic venues, in particular, are frequently situated in ecologically sensitive areas and are more exclusive, leading to higher maintenance and conversion costs as well as greater ecological risks. Until now, studies examining the sustainability of large‐scale winter venues have been lacking. In this study, a multi‐dimensional conceptual model was developed to include ecological, social, and economic aspects, and the scorecard method was used to quantitatively evaluate the sustainability of venues from six Winter Olympic Games held between 1998 and 2018. The results show that the overall sustainability of the venues is at a medium level, with relatively high ecological sustainability. Additionally, the sustainability of the venues has improved over time, while the economic dimension of sustainability has decreased. Furthermore, indicators that hinder the sustainability of Winter Olympic venues were identified, and strategies from ecological, social, and economic dimensions were proposed to improve their sustainability. This study enriched the knowledge of Olympic legacies and sustainable venues, providing theoretical implications for the assessment of venue sustainability and practical implications for the construction and utilization of sports facilities as sustainable city infrastructure.