I haven't really had any outright failures but I do notice things feel a little stiffer when it's cold out. So, I make it a point to run a few magazines through it whenever the temperatures really start to drop, just to be sure.
Last winter I left my truck overnight in subzero weather, then ran a few magazines at dawn. Everything fed fine but the recoil felt sharper and my hands went numb.
What I would be most concerned with is the impact of heavy winter clothing. That can clog up a hollow point pretty effectively. If one uses Hornady Flex-Tip bullets there is no issue.
I ran some Federal HST through a cold weather test last winter and saw zero issues. That said some older hollow point designs can pack with debris in extreme cold and that changes things fast.