Due to limits to standard methods for surveying outdoor thermal comfort (OTC), it is difficult to compare thermal benchmarks and thermal index calibrations among studies and climatic regions. Using uniform standard meteorological measurements and questionnaire surveys, our study conducted an OTC study in urban parks in Beijing, Xi'an and Hami; representative of cities in China's cold regions. The Universal Thermal Climate Index (UTCI) was used as the thermal comfort index, and differences in residents' thermal perceptions and outdoor thermal benchmarks among these cities were compared. Results showed that: 1) air temperature (T(a)) and globe temperature (T(g)) were two primary factors affecting residents' thermal sensations in the three cities during winter. Residents' thermal sensation in Beijing and Hami was negatively correlated with wind speed (V(a)). Residents in Xi'an and Hami preferred a higher relative humidity (RH). Residents in Beijing and Hami preferred a lower V(a) to improve OTC related to local climatic characteristics. 2) Xi'an residents had the highest neutral UTCI (NUTCI) (17.3 °C), followed by Beijing (17.0 °C) and Hami (6.4 °C). Xi'an residents had slightly wider neutral UTCI range (NUTCIR) (7.9-26.7 °C) compared to Beijing (8.7-25.4 °C), while Hami residents had the narrowest NUTCIR (1.5-11.3 °C). The "no thermal stress" range in the three cities was 6.1-26.0 °C in Beijing, 6.7-25.5 °C in Xi'an, and -2.2-12.2 °C in Hami. 3) Calibrated thermal indices, based on the ASHRAE 7-point scale, were gained to judge the thermal qualities of an environment for all three cities.