Healthy horses can manage cold temperatures as long as they have shelter from wind & rain, access to hay & water, a good coat, and aren't skinny. But exercising them in very cold temperatures can be harmful for their respiratory systems. When it's too cold for me to take a deep breath comfortably, I know it's definitely too cold to work the horses. Personally, my cut off for working horses or teaching lessons is about -12C (about 10F). Besides it being hard on the horse's lungs to work in very cold weather, it's also uncomfortable for me standing to teach and for the students (frozen toes & fingers).
Another thing to consider is the colder it is, the more tense the muscles are and the longer it takes to warm them up properly. This goes for the riders as well as the horses. If you must exercise your horses in very cold weather, keep it easy and slow work so they don't breathe hard and don't strain those cold muscles.
My recommendation is to give them time off in cold weather. Turn them out if possible ensuring they have adequate shelter (wind break) and hay. It's the digestion of the hay that keeps their internal furnace working.