Read this page of Assassin's Creed Valhalla guide to see if your hero can die from freezing. This is an important issue when exploring all the lands where temperatures are low.
Yes, in AC Valhalla, your character can die from the cold. This can happen when your character stays in cold water for too long. After jumping into cold water, you will notice frost effect on the edges of the screen. If you don't get out of the water fast, your hero will gradually lose health points. Staying too long in cold water will kill your character. A very similar mechanic has been used in Assassin's Creed Rogue.
You need to be especially careful when exploring areas in Norway, as these regions are very cold. This is even more important in those locations where you have to dive to grab some treasure lying at the bottom. It is worth using Odin's Sight before diving to determine the location of the cargo. When you dive, try to swim in a straight line towards it.
In Assassin's Creed Valhalla, you don't have to worry about adjusting Eivor's clothes to the weather conditions. You can move freely through winter locations even in those outfits that don't cover much of the hero's body.