I'm in Sask, and I've been riding outside this winter (no arena). It's great, as long as you can avoid the ice. Once it hits -20 C I don't bother, but anything from -15 C and up is warm enough. It's all about the layers.
I started a couple fillies last summer, so I've just been carrying on with their training. Trail rides, getting them moving off the leg, backing, stopping, turning, transitions, etc... The only thing I'm conscious of is not to sweat them up, as I don't have a barn or anthing. I don't physically work them very hard. Just trotting, walking, and a little loping.