The answer can be found in the nature of the two engagements, those involved, and the build up to them. Khalkin Gol was essentially a singular engagement that was the result of a series of escalating skirmishes, which were the result of a minor border dispute on the frontier of 2 puppet states of Mongolia and Manchukuo. The actual engagement included a little over one hundred thousand soldiers and in the scope of the Winter War, not a very large engagement. The Winter War, on the other hand, involved nearly a million and a half men and was essentially a life or death battle for Finland, since failure could very well result in the annexation of much of their territory, if not complete annexation. So we can see a difference in stakes.

The facts on the ground were grossly different as well. Khalkin Gol for the Soviets, was a confluence of boons that would play well into their hand. One of the Commanders present was, of course, the famous Georgy Zhukov, who would go one to be one of the most talented, influential and successful Generals of the entire war. The Soviet's were vastly better equipped than their Japanese counterparts, due to the Japanese using resources in mainland China as well as a better local logistics systems for the Soviets. This meant that when Zhukov engaged in the final counter-attack on August 20th, 1939, he had hundreds of more tanks, airplanes, artillery, motorized transport ready to engage in a well planned combined arms offensive on a flat, treeless steppe geography that was perfect for this sort of warfare. The end result of all of this being, of course, the classic double envelopment of the Japanese forces and victory for the Soviet Army.

The Winter War, on the other hand, was a completely different on the ground scenario. Soviet intelligence had woefully misled the Soviet high command of the defense capability of the Finns. The Red Army had just gone through another round of purges and at this point was nearly completely devoid of experienced or flexible mid-level and senior officers, and was instead left with Stalin's cronies, and communist yes men, who would not dare to object or question the wisdom of this venture. This combined with the atrocious weather, the ingenuity, and tenaciousness of the Finnish defenders, the difficult forested or marshy terrain of Karelia and Finland all came together for the opposite effect of Khalkin Gol. Hundreds of Thousands of Red Army soldiers were killed or wounded due to the overconfidence of the Soviet Union, and an inability to properly react until the overwhelming nature of their failure was apparent.

If you have questions on specifics I would be happy to answer

Sources Cited:

Keegan, John. The Second World War. New York: Viking, 1990.

Coox, Alvin D. Nomonhan: Japan against Russia, 1939. Stanford, CA: Stanford University Press, 1985. Edwards, Robert.

White death: Russia's war on Finland, 1939-40. London: Weidenfeld & Nicolson, 2006.