The perception of Mass. winters as "brutal" is perhaps a bit subjective. As a reference, I suggest taking stock of the winters the colonists in Canada were enduring at pretty much the same period. Champlain had to make three attempts before a batch of colonists survived a single winter; yet efforts to settle along the St-Laurence continued as the prospects of land ownership and relatively greater freedom were strong incentives. Furthermore, this was the middle of the so-called little ice-age, so perhaps the colonists were accustomed to more rigorous weather at home as well. One thing which probably was a huge factor was the location of suitable harbors. Notwithstanding the storms, and Nor'Easters in particular, the New England coast has a numkber of sheltered bays which were ideal to preserve the fleets on which these colonies depended. The southern part of the US coastline is much less well furnished in that regard.

Edit:

for comparisons sake, you'll find here the average weather for Boston and Québec City (0° C = 32° F).

Hence, Boston daily maximum temperatures are above freezing year round (coldest month January, average max temp +2° C). Nighttime temperatures are below freezing for 2½ months (coldest average month January, average min temp -5° C),

For Québec City, maximum average temperatures are below freezing for three months (coldest month January, average max temp -8° C). Nighttime temperatures are below freezing for nigh on 5 months (coldest average month January, average min temp -18° C),

The amounts of precipitation are comparable.

Seen from the other colony just north of them, the people in Massachussets had it pretty easy weatherwise...

The Pilgrims were in fact headed for Virginia. They were more or less pushed off the boat at Plymouth by the ship's crew, due to concerns over whether the ship's remaining food and beer reserves could sustain the return voyage.

also you have to consider what the comparable weather was like in England (where they left) or Holland (where some of them came from earlier). Are Mass winters really much worse then England's? They can be really brutal.

Also they arrived later in the year in any event. It would probably be very difficult to travel in the middle of winter with just the close on their back to a destination they had no way of knowing where. They would be much at risk of being stranded out in the cold with no shelter. They might have felt they could handle cold weather as it was similar to england's.

First of all, as a Massachusetts resident, we don't have brutal winters for our region, even when things were much colder. Head west into upstate new york and winters can get pretty brutal. Second of all, soon after the pilgrims, areas far north of massachusetts were settled (albeit with more issues). Finally, I don't think it would have gotten much better further south—they would have experienced similar crop issues wherever the ground froze fully, they would have still had to grapple with farming difficult-to-farm land, deal with natives, and providing shelter in a seasonal environment.