To all students out there, I think this is an area that could do with a bit more research.
From the picture gallery stored in my brain I get the feeling that most (English, none gentry) women (Medieval and Tudor) are shown wearing dresses in cold weather. For women. coats are not that common and cloaks are even rarer. (You see them in the laterC16th/C17th Dutch paintings).
I have done a bit of testing out of this dress thing, reenacting in bitter winds, driving rain, snow and frosty weather.
You actually stay very warm if you wear two kirtles, one on top of the other.
if you mostly work inside in rooms with roaring fires. eg. you do not feel the cold nipping from the bakehouse to the kitchens.
You do need a coat if you are out on the land for a while eg searching for fire wood.
A cloak is a god send if you need to go out in the rain. But most sensible people don't do that. You shelter with friends, by a fire. while its raining and go out when it stops.
So I reckon cloaks were for travellers or emergencies. And in an emergency, a gentleman would volunteer,

or you'd send out your man

, to go and get drenched.
Back to one dress worn on top of another.
The bits that get cold are:
round your neck - partlets solve that problem as does wrapping a clout round your neck (mufflers);
your feet - wear stockings, stuff your shoes with straw or sheep's wool, boots are better than T bar shoes, and taking them to the cobblers in the Autumn is a good idea (you discover where the holes are when you step into snow (arrrrhhhhhhh ********!!!!!!!!!) and wear pattens;
your fingers - this is where they were clever. Many gowns have big sleeves, cuffs and/or come past the wrists. In clement weather you fold the cuffs back, in cold weather you wear them down, snuggling your hands inside.
In the C16th gloves were commonly given as presents - as gifts on happy occasions and to mourners at funerals. They are in the gentry portraits.
But could the common folk afford them?
In Bruegel's beekeepers they have bare hands and have pulled their cuffs over their fingers. In his snowy pictures you see the odd covered hand (a mitten? Or just cloth wrapped round? One, on a hunter, looks furry.)) but most people have their fingers free in the sunny scenes and tucked into their sleeves (some times of the other arm) in the overcast ones.