Exhausted from seeing the same winter-themed games always recommended, like the beginning of RDR2, Snowrunner or Frostpunk, I decided to make a small list of some games that rarely get mentioned in this category.
store.steampowered.com
One of the most beautiful games out there, and you may already have it at Epic since it was one of the free giveaways. There are at least 2 cold weather maps, one of which is in Alaska, which are available via DLC purchase. I also highly recommend getting one of the hunting dog DLC, as these help you find your kills (after you shoot them poorly and they wander off to die elsewhere)
store.steampowered.com
store.steampowered.com
store.steampowered.com
store.steampowered.com
store.steampowered.com
Has a free demo
store.steampowered.com
Not released yet, but has a free demo you can play
store.steampowered.com
Incredible game. Has snow biome planets...
store.steampowered.com
store.steampowered.com
store.steampowered.com
store.steampowered.com
store.steampowered.com
store.steampowered.com
Has a free demo

theHunter: Call of the Wild™ on Steam
Discover an atmospheric hunting game like no other in this realistic, stunning open world – regularly updated in collaboration with the community. Immerse yourself in the single player campaign, or share the ultimate hunting experience with friends.

Praey for the Gods on Steam
Praey for the Gods is a boss climbing open world adventure game where you play a lone hero sent to the edge of a dying frozen land to explore and solve the secrets of a never ending winter. Grapple, glide and grab hold of massive beasts as you fight to survive and return the world to proper order.

Distrust: Polar Survival on Steam
DISTRUST is an isometric survival adventure with procedural generation on an Arctic research station lost in the endless dark of a polar night. A story-rich fiction with multiple endings that suits both singleplayer fans and co-op enthusiasts.

The Pale Beyond on Steam
You didn’t ask to lead this expedition, but here you are. Stuck in the ice, Captain missing, miles from civilisation. Someone has to take charge. Manage your meagre resources, balance safety and morale, make the hard calls, and head in the only direction you can - through The Pale Beyond.

Subnautica: Below Zero on Steam
Dive into a freezing underwater adventure on an alien planet. Below Zero is set two years after the original Subnautica. Return to Planet 4546B to uncover the truth behind a deadly cover-up. Survive by building habitats, crafting tools, & diving deeper into the world of Subnautica.

Permafrost on Steam
Embark on a brutal journey of survival in a perpetual winter. Hunt and gather resources for building and utilize deep survival mechanics to craft your way through a harsh, unforgiving landscape. Forge alliances or dominate the remnants of humanity in this chilling open world saga.

FRIGID on Steam
Hunt, build, craft and survive an apocalyptic arctic environment and unravel the mystery of a strange virus that is infecting the local wildlife. Inspired by The Thing!

Save 60% on No Man's Sky on Steam
No Man's Sky is a game about exploration and survival in an infinite procedurally generated universe.

Kona on Steam
Northern Canada, 1970. A strange blizzard ravages Atamipek Lake. Step into the shoes of a detective to explore the eerie village, investigate surreal events, and battle the elements to survive. Kona is a chilly interactive tale you won't soon forget.

Kholat on Steam
The most terrifying journey of your life set in the beautiful winter scenery of the Ural Mountains. Uncover the horrific mystery behind the Dyatlov Pass Incident. Narrated by the famous Sean Bean.

Project Winter on Steam
In Project Winter, survival is just the beginning. Work with your friends to escape the icy wilderness, but don’t get too comfortable. Traitors lurk among you, ready to lie, sabotage, and turn even the closest of friends against each other. Who will you trust?

Winter Resort Simulator on Steam
Are you ready for the winter? Winter Resort simulator lets you operate detailed Doppelmayr cable cars and snow vehicles such as Pistenbully snowcats. Set in a realistic alpine landscape, you are responsible for managing your ski resort and keeping your guests happy.

Save 65% on Snowtopia: Ski Resort Builder on Steam
Build your ideal ski resort. Keep skiers smiling with fresh pistes and fine facilities. Ski, build and chill in the wintry world of Snowtopia where everyone is welcome!

The Forever Winter on Steam
March Update is here! AI spawning and awareness are sharper, gunplay is smoother, looting is smarter, & network & performance are improved. Oh, & Water 3.0 is here! The in-game timer is gone, replaced with a new system you should check out. Plus, a brand-new map, Stairway Gate, watch your step!