You might be interested in past posts on this topic:
How did Native Americans handle harsh winter weather such as blizzards? Did they have any way of predicting foul weather?
^(11 Feb 2015 | 96 comments)
^(/u/Muskwatch gives a general answer.)
How did North American Indians survived winter back then, while so many homeless people die nowadays?
^(07 Dec 2013 | 8 comments)
^(/u/Reedstilt gives answers for the Iroquois, Miami, Cherokee, and the winter journey of a Jesuit priest amongst the Innu.)
What did the Native women and children in the colder areas of North America do in the winter?
^(28 Oct 2014 | 17 comments)
^(/u/The_Alaskan gives a detailed answer concerning Native Americans in Alaska.)
Watching The Revenant, this was one of the questions most burning in my mind. I assume many Natives/pioneers froze to death from the harsh climate, especially while travelling/immigrating/trapping. To latch on to OP's question, did they have some sort of makeshift shelter that could easily be assembled while 'on the hunt'?
Hi!! Not to discourage further discussion, but you may find these previous answers helpful:
What did the Native women and children in the colder areas of North America do in the winter?
How did Native Americans deal with the harsh New England winters?
How did the Great Plains Native Americans survive such harsh winters with any degree of success?
Make sure to ping the relevant users if you have any follow ups!
Not to discourage new answers, but there have been similar questions and answers in the past:
/u/Reedstilt is flaired in Eastern Woodlands, and has put a number of answers together in the past. Perhaps now is the time to compile them and add them to the FAQ?
Check the other posts, they have links which likely go into details about what I talk about below. I'm also not a historian (forgive me), just someone who has read a lot about modern and traditional techniques for dealing with the cold.
The first factor is that for activity outdoors, the human body creates a fair deal of heat. The human body also adapts when exposed to cold, adding more "brown fat" which burns energy to make heat.
The second factor is that the Native Americans had technology for the cold. In many ways, it's superior to what modern Americans usually wear. We don't need good clothing, because we have indoor heat and heated vehicles that allows us inferior cold-weather clothing. The Native Americans wore clothing that allowed perspiration to pass through while retaining heat. That's a big factor for cold weather survival and comfort - sweat will build up, causing clothing to get wet and lose a great deal of their insulating properties.
So basically, to sum up the above, we overestimate the cold, both in the requirements of what we need, and by dressing improperly for the cold.
Not to say that the winters weren't harsh - they seem to be the hardest time of the year, and we have historical documents that mention steps taken by the Natives to reduce their risk. The Hudson Bay Company outposts would have Natives gather nearby in winter hoping for food, and I've found references to that in multiple sources. I was just reading John Tanner's documentation of living in Minnesota and related regions, and he mentions how families would come together for the region, presumably since a larger community meant a better support system in case of problems.