Running in cold weather can be significantly more challenging due to the body's need to maintain temperature, which increases exertion. The discussion highlights that cold air can irritate the lungs and make breathing difficult, especially for those unaccustomed to cardio exercise. A gradual approach, combining walking and jogging, is recommended to build endurance without overexertion. Proper clothing is essential to avoid discomfort and potential health issues when exercising in low temperatures. Overall, starting slowly and listening to one's body is crucial for improving mile times in cold conditions.